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                <name>GSAA HOME EQUITY TRUST 2006-8</name>
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                <fairValLevel>2</fairValLevel>
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            <invstOrSec>
                <name>CITIGROUP MORTGAGE LOAN TRUST INC</name>
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                <fairValLevel>2</fairValLevel>
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                <fairValLevel>2</fairValLevel>
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            <invstOrSec>
                <name>NATIONSTAR HECM LOAN TRUST 2018-2</name>
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                    <isin value="US63862TAF84"/>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2028-07-25</maturityDt>
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            <invstOrSec>
                <name>CFMT 2019-HB1 LLC</name>
                <lei>N/A</lei>
                <title>ASSET BACKED SECURITY</title>
                <cusip>12529BAF9</cusip>
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                    <isin value="US12529BAF94"/>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-12-25</maturityDt>
                    <couponKind>Variable</couponKind>
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            <invstOrSec>
                <name>FINANCE OF AMERICA STRUCTURED SECURITIES TRUST 2019-HB1</name>
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                    <isin value="US31739HAF29"/>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-04-25</maturityDt>
                    <couponKind>Variable</couponKind>
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            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
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                    <isin value="US20753TAC71"/>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2039-06-25</maturityDt>
                    <couponKind>Floating</couponKind>
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            <invstOrSec>
                <name>RMF BUYOUT ISSUANCE TRUST 2019-1</name>
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                <title>ASSET BACKED SECURITY</title>
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                    <isin value="US76971DAF33"/>
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                <balance>324000</balance>
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                <curCd>USD</curCd>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-07-25</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>6</annualizedRt>
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            <invstOrSec>
                <name>SEASONED CREDIT RISK TRANSFER TRUST</name>
                <lei>N/A</lei>
                <title>ASSET BACKED SECURITY</title>
                <cusip>35563PLU1</cusip>
                <identifiers>
                    <isin value="US35563PLU11"/>
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                <balance>1710000</balance>
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                <curCd>USD</curCd>
                <valUSD>1699372.35</valUSD>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2058-10-25</maturityDt>
                    <couponKind>Variable</couponKind>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>LEGACY MORTGAGE ASSET TRUST 2019-GS2</name>
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                <title>ASSET BACKED SECURITY</title>
                <cusip>52475BAB8</cusip>
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                    <isin value="US52475BAB80"/>
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                <balance>5340000</balance>
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                <curCd>USD</curCd>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2059-01-25</maturityDt>
                    <couponKind>Variable</couponKind>
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            <invstOrSec>
                <name>FTS INTERNATIONAL INC</name>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2021-04-16</maturityDt>
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                <name>TERRIER MEDIA BUYER INC</name>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-12-17</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>JO-ANN STORES LLC</name>
                <lei>549300GM65RR2EMGLI48</lei>
                <title>BANK LOAN NOTE</title>
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                    <other otherDesc="Internal ID" value="1889295"/>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-10-16</maturityDt>
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            <invstOrSec>
                <name>PETSMART INC</name>
                <lei>N/A</lei>
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                    <maturityDt>2022-03-11</maturityDt>
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            <invstOrSec>
                <name>REYNOLDS GROUP HOLDINGS INC</name>
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            <invstOrSec>
                <name>ATOTECH ALPHA 3 BV</name>
                <lei>549300RVASWYF4HCO804</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N0287GAB9</cusip>
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                    <other otherDesc="Internal ID" value="1924839"/>
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                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-01-31</maturityDt>
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            <invstOrSec>
                <name>VERTIV INTERMEDIATE HOLDING II CORP</name>
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                <title>BANK LOAN NOTE</title>
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                    <other otherDesc="Internal ID" value="1943975"/>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-11-15</maturityDt>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>BWAY CORP</name>
                <lei>549300RY13CUZRBP7216</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>05604XAP1</cusip>
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                    <isin value="US05604XAP15"/>
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                <balance>1979548.48</balance>
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                <curCd>USD</curCd>
                <valUSD>1970268.35</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-04-03</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>ASP AMC MERGER SUB INC</name>
                <lei>N/A</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>00912YAL6</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1960783"/>
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                <balance>1018875</balance>
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                <curCd>USD</curCd>
                <valUSD>887269.97</valUSD>
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                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-04-21</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.445</annualizedRt>
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            </invstOrSec>
            <invstOrSec>
                <name>AZEK CO LLC/THE</name>
                <lei>N/A</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>12626JAE7</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1968316"/>
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                <balance>2035814.35</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2040903.88</valUSD>
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                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-05-05</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.933</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>CENTURYLINK INC</name>
                <lei>8M3THTGWLTYZVE6BBY25</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>15670BAB8</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1974716"/>
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                <balance>2084365.48</balance>
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                <curCd>USD</curCd>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-01-31</maturityDt>
                    <couponKind>Fixed</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>WIDEOPENWEST FINANCE LLC</name>
                <lei>54930045JY28O5B5WE54</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>96758DBA0</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1986535"/>
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                <balance>1483732.62</balance>
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                <curCd>USD</curCd>
                <valUSD>1470131.24</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-08-19</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>BRAND INDUSTRIAL SERVICES INC</name>
                <lei>549300B658W2BPDQMW42</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>10524MAN7</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1986536"/>
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                <balance>4670174.34</balance>
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                <curCd>USD</curCd>
                <valUSD>4651825.23</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-06-21</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>6.235</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>WERNER FINCO LP</name>
                <lei>N/A</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>95075EAC3</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1989477"/>
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                <balance>1766508.73</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1757676.19</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-07-24</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.799</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>ASCEND LEARNING LLC</name>
                <lei>549300T466HKRLVCD610</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>02083JAC8</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1991055"/>
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                <balance>2676464.46</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2689846.78</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-07-12</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.799</annualizedRt>
                    <isDefault>N</isDefault>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>DIAMOND BC BV</name>
                <lei>549300SWLHWJF3D4N658</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N2611UAC9</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2002915"/>
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                <balance>1310099.22</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1282259.61</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-09-06</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.927</annualizedRt>
                    <isDefault>N</isDefault>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>NAVISTAR INC</name>
                <lei>4EW4JDYTYMZ6D6T42H76</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>63937YAE1</cusip>
                <identifiers>
                    <isin value="US63937YAE14"/>
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                <balance>5218002.89</balance>
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                <curCd>USD</curCd>
                <valUSD>5198435.38</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-11-06</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.24</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>RACKSPACE HOSTING INC</name>
                <lei>549300QTYCKLMFSE8I97</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>75008QAL0</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2041925"/>
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                <balance>793335.47</balance>
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                <curCd>USD</curCd>
                <valUSD>773502.08</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-11-03</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>CALIFORNIA RESOURCES CORP</name>
                <lei>5493003Q8F0T4F4YMR48</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2042871"/>
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                <balance>684000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>604580.08</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-12-31</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>6.555</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>INTELSAT JACKSON HOLDINGS SA</name>
                <lei>8XJ8KF85PBKK1TLMFN29</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="XAL5137LAF21"/>
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                <balance>1345000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1345336.25</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>BM</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-11-27</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isDefault>N</isDefault>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>IRB HOLDING CORP</name>
                <lei>549300HVW4WNWYBXN830</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2062999"/>
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                <balance>1632537.88</balance>
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                <curCd>USD</curCd>
                <valUSD>1639340.66</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-02-05</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isDefault>N</isDefault>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>SCIENTIFIC GAMES INTERNATIONAL INC</name>
                <lei>RLTHESQ0RNFQJWPBJN60</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>80875AAP6</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2066783"/>
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                <balance>89544.3</balance>
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                <curCd>USD</curCd>
                <valUSD>89688.2</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-08-14</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>CROWN FINANCE US INC</name>
                <lei>N/A</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>22834KAB7</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2067637"/>
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                <balance>1422505.44</balance>
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                <curCd>USD</curCd>
                <valUSD>1419344.63</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-02-28</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.049</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>ROBERTSHAW US HOLDING CORP</name>
                <lei>549300NMXRV2JIXFIY04</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2069985"/>
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                <balance>1996776.6</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1807082.83</valUSD>
                <pctVal>0.040264940338</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-02-28</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.063</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>ROBERTSHAW US HOLDING CORP</name>
                <lei>549300NMXRV2JIXFIY04</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2069986"/>
                </identifiers>
                <balance>1360000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1088000</valUSD>
                <pctVal>0.024242527437</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-02-28</maturityDt>
                    <couponKind>Floating</couponKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>TITAN ACQUISITION LTD/UNITED KINGDOM</name>
                <lei>213800CPQ6QTUXFE7375</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>C8856UAB4</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2079954"/>
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                <balance>2982006.31</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2927584.69</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-03-28</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>KRONOS INC/MA</name>
                <lei>5493000E2HBSA8M27B95</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>50105JAM9</cusip>
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                    <other otherDesc="Internal ID" value="2080275"/>
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                <balance>606170.35</balance>
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                <curCd>USD</curCd>
                <valUSD>608822.34</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-11-01</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.909</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDEN NUGGET LLC</name>
                <lei>91D14OD6M4H1RVBN7R43</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>51508PAG9</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2090056"/>
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                <balance>1419613.21</balance>
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                <curCd>USD</curCd>
                <valUSD>1423324.08</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-10-04</maturityDt>
                    <couponKind>Floating</couponKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>JO-ANN STORES LLC</name>
                <lei>549300GM65RR2EMGLI48</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>47759DAD7</cusip>
                <identifiers>
                    <isin value="US47759DAD75"/>
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                <balance>2702083.23</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>932218.71</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-05-21</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>11.042</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GFL ENVIRONMENTAL INC</name>
                <lei>549300FYK4MBXWIVZU26</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>C7052BAF1</cusip>
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                    <other otherDesc="Internal ID" value="2099758"/>
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                <balance>2337930.81</balance>
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                <curCd>USD</curCd>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-05-31</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.799</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>ORTHO-CLINICAL DIAGNOSTICS INC</name>
                <lei>5493006VJVVGE5PD4517</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="XAL7300KAJ33"/>
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                <balance>453257.58</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>447025.29</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-06-01</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.306</annualizedRt>
                    <isDefault>N</isDefault>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>SOLENIS INTERNATIONAL LLC</name>
                <lei>549300P0XTH2Z2N7QB86</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>83420LAK7</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2115735"/>
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                <balance>1152703.8</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1137334.8</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-06-26</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.909</annualizedRt>
                    <isDefault>N</isDefault>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>ASURION LLC</name>
                <lei>549300KNQVXGIOXWK278</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>04649VAW0</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2119631"/>
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                <balance>1819148.61</balance>
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                <curCd>USD</curCd>
                <valUSD>1827865.97</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-11-03</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.799</annualizedRt>
                    <isDefault>N</isDefault>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>REFINITIV US HOLDINGS INC</name>
                <lei>549300NF240HXJO7N016</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>31740MAC5</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2149214"/>
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                <balance>3237300</balance>
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                <curCd>USD</curCd>
                <valUSD>3262929.7</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-10-01</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>MESSER INDUSTRIES USA INC</name>
                <lei>529900HNC1EZT3TC1260</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2154316"/>
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                <balance>1267422.5</balance>
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                <curCd>USD</curCd>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-03-01</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>TALBOTS INC/THE</name>
                <lei>N/A</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>87416DAF3</cusip>
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                    <isin value="US87416DAF33"/>
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                <balance>2107840.58</balance>
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                <curCd>USD</curCd>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-11-28</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>SPRINT COMMUNICATIONS INC</name>
                <lei>549300JKU50UT08ZWD77</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>85208EAD2</cusip>
                <identifiers>
                    <isin value="US85208EAD22"/>
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                <balance>4079097.75</balance>
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                <curCd>USD</curCd>
                <valUSD>4063801.14</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-02-03</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>TRAVELPORT FINANCE LUXEMBOURG SARL</name>
                <lei>2221005SGFWYZHL40F77</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>L9308UAQ3</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2222214"/>
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                <balance>1165080</balance>
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                <curCd>USD</curCd>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>LU</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-05-30</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>LOWER CADENCE HOLDINGS LLC</name>
                <lei>549300GMUP7Q51T05S83</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="US54805BAB53"/>
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                <balance>1362155</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1344276.72</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-05-22</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.799</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>IHEARTCOMMUNICATIONS INC</name>
                <lei>54930076J6KDZL504O62</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>45175AAB7</cusip>
                <identifiers>
                    <isin value="US45175AAB70"/>
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                <balance>564937.78</balance>
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                <curCd>USD</curCd>
                <valUSD>569679.31</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-05-01</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>BERRY GLOBAL INC</name>
                <lei>549300AP2Q7ERHX6RI89</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="US08579JBC53"/>
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                <balance>1820850</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1825149.03</valUSD>
                <pctVal>0.040667486616</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-07-01</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.215</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DIAMOND SPORTS GROUP LLC</name>
                <lei>N/A</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2271914"/>
                </identifiers>
                <balance>74812.5</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>74563.15</valUSD>
                <pctVal>0.001661396332</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

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            <invstOrSec>
                <name>ALBERTSON'S LLC</name>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2025-11-17</maturityDt>
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            <invstOrSec>
                <name>CLEAR CHANNEL OUTDOOR HOLDINGS INC</name>
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                <fairValLevel>2</fairValLevel>
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            <invstOrSec>
                <name>CEC ENTERTAINMENT INC</name>
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                <fairValLevel>2</fairValLevel>
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            <invstOrSec>
                <name>HUB INTERNATIONAL LTD</name>
                <lei>549300JQT6ATTUNS5E06</lei>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2025-04-25</maturityDt>
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            <invstOrSec>
                <name>GARDA WORLD SECURITY CORP</name>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-10-23</maturityDt>
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                <name>GENESEE  AND  WYOMING INC</name>
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                <title>BANK LOAN NOTE</title>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2023-09-07</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>CANADIAN IMPERIAL BANK OF COMMERCE/NEW YORK NY</name>
                <lei>2IGI19DL77OX0HC3ZE78</lei>
                <title>CERT OF DEPOSIT</title>
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                    <other otherDesc="Internal ID" value="2340078"/>
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                <issuerCat>CORP</issuerCat>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-01-13</maturityDt>
                    <couponKind>Fixed</couponKind>
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                <name>TORONTO-DOMINION BANK/NY</name>
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                <title>CERT OF DEPOSIT</title>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2020-01-23</maturityDt>
                    <couponKind>Fixed</couponKind>
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                <name>CREST 2003-2 LTD</name>
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                <fairValLevel>2</fairValLevel>
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                <name>TIAA REAL ESTATE CDO LTD</name>
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                <name>GS MORTGAGE SECURITIES CORP II SERIES 2005-GG4</name>
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                <name>CREDIT SUISSE COMMERCIAL MORTGAGE TRUST SERIES 2006-C5</name>
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                <name>WACHOVIA BANK COMMERCIAL MORTGAGE TRUST SERIES 2007-C34</name>
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                <name>BANC OF AMERICA COMMERCIAL MORTGAGE TRUST 2007-5</name>
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                <name>MEZZ CAP COMMERCIAL MORTGAGE TRUST</name>
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                <title>COMMERCIAL MORT BACKED SEC IO</title>
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                <name>CD 2007-CD5 MORTGAGE TRUST</name>
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                <title>COMMERCIAL MORT BACKED SEC IO</title>
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                <issuerCat>CORP</issuerCat>
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                    <maturityDt>2044-11-15</maturityDt>
                    <couponKind>Variable</couponKind>
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                <name>BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES TRUST 2005-PWR7</name>
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                    <isin value="US07383F4E52"/>
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                <fairValLevel>2</fairValLevel>
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                <name>BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES TRUST 2006-PWR11</name>
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                <fairValLevel>2</fairValLevel>
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            <invstOrSec>
                <name>BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES TRUST 2005-PWR7</name>
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                    <isin value="US07383F4D79"/>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2041-02-11</maturityDt>
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            <invstOrSec>
                <name>CFCRE COMMERCIAL MORTGAGE TRUST 2011-C2</name>
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                    <isin value="US12527DAG51"/>
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                <balance>13980000</balance>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2047-12-15</maturityDt>
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            <invstOrSec>
                <name>MORGAN STANLEY CAPITAL I TRUST 2012-C4</name>
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                    <isin value="US61760VAF04"/>
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                <balance>7066000</balance>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2045-03-15</maturityDt>
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            <invstOrSec>
                <name>COMM 2012-CCRE3 MORTGAGE TRUST</name>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2045-10-15</maturityDt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>WFRBS COMMERCIAL MORTGAGE TRUST 2012-C10</name>
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                <cusip>92890NAE9</cusip>
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                    <isin value="US92890NAE94"/>
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                <balance>21439000</balance>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2045-12-15</maturityDt>
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            <invstOrSec>
                <name>JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11</name>
                <lei>N/A</lei>
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                <cusip>46639YAX5</cusip>
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                    <isin value="US46639YAX58"/>
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                <balance>431000</balance>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-04-15</maturityDt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>COMM 2013-CCRE9 MORTGAGE TRUST</name>
                <lei>549300C72XVZH4MIKU63</lei>
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                <cusip>12625UAJ2</cusip>
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                    <isin value="US12625UAJ25"/>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2045-07-10</maturityDt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C11</name>
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                <cusip>61762TAN6</cusip>
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                    <isin value="US61762TAN63"/>
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                <fairValLevel>2</fairValLevel>
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                <name>WFRBS COMMERCIAL MORTGAGE TRUST 2013-C15</name>
                <lei>5493003CHVRASC16O965</lei>
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                <cusip>92938CAL1</cusip>
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                    <isin value="US92938CAL19"/>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2046-08-15</maturityDt>
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            <invstOrSec>
                <name>WELLS FARGO COMMERCIAL MORTGAGE TRUST 2013-LC12</name>
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                <cusip>94988QAU5</cusip>
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                <debtSec>
                    <maturityDt>2046-07-15</maturityDt>
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            <invstOrSec>
                <name>WELLS FARGO COMMERCIAL MORTGAGE TRUST 2014-LC16</name>
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            <invstOrSec>
                <name>WFRBS COMMERCIAL MORTGAGE TRUST 2012-C9</name>
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                    <isin value="US92930RAK86"/>
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                <balance>5985000</balance>
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                    <maturityDt>2045-11-15</maturityDt>
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            <invstOrSec>
                <name>UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C2</name>
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                    <isin value="US90269CAV28"/>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2063-05-10</maturityDt>
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            <invstOrSec>
                <name>JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C18</name>
                <lei>N/A</lei>
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                <cusip>46641JAE6</cusip>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2047-02-15</maturityDt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>BANC OF AMERICA MERRILL LYNCH COMMERCIAL MORTGAGE INC</name>
                <lei>549300KC4TL4CE0SHX51</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>05947UD70</cusip>
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                <balance>8629000</balance>
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                <curCd>USD</curCd>
                <valUSD>3451600</valUSD>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2042-11-10</maturityDt>
                    <couponKind>Variable</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11</name>
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                    <isin value="US46639YAC12"/>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2046-04-15</maturityDt>
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            </invstOrSec>
            <invstOrSec>
                <name>WFRBS COMMERCIAL MORTGAGE TRUST 2011-C3</name>
                <lei>N/A</lei>
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                <cusip>92935VAU2</cusip>
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                    <isin value="US92935VAU26"/>
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                <balance>8644000</balance>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2044-03-15</maturityDt>
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            <invstOrSec>
                <name>UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2013-C6</name>
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                    <isin value="US90349GAU94"/>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2046-04-10</maturityDt>
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            <invstOrSec>
                <name>COMM 2012-LC4 MORTGAGE TRUST</name>
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                <cusip>126192AL7</cusip>
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                    <isin value="US126192AL71"/>
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                <balance>10009000</balance>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2044-12-10</maturityDt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C25</name>
                <lei>N/A</lei>
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                    <isin value="US46643PAN06"/>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2047-11-15</maturityDt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C25</name>
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                    <isin value="US46643PAQ37"/>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2047-11-15</maturityDt>
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            <invstOrSec>
                <name>MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C17</name>
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                <cusip>61763UAG7</cusip>
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                    <isin value="US61763UAG76"/>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2047-08-15</maturityDt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C18</name>
                <lei>N/A</lei>
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                <cusip>46641JAG1</cusip>
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                    <isin value="US46641JAG13"/>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2047-02-15</maturityDt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>CSAIL 2015-C1 COMMERCIAL MORTGAGE TRUST</name>
                <lei>549300UFJ8EKD81Y8R30</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>126281AL8</cusip>
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                    <isin value="US126281AL81"/>
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                <balance>6587000</balance>
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                <curCd>USD</curCd>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-04-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>3.772</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>GS MORTGAGE SECURITIES TRUST 2014-GC24</name>
                <lei>N/A</lei>
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                <cusip>36253GAS1</cusip>
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                    <isin value="US36253GAS12"/>
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                <balance>17168000</balance>
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                <issuerCat>CORP</issuerCat>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2047-09-10</maturityDt>
                    <couponKind>Variable</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C10</name>
                <lei>549300P1YQ48837ZOI22</lei>
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                <cusip>61762MBG5</cusip>
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                    <isin value="US61762MBG50"/>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2046-07-15</maturityDt>
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                <name>STRIPS III LTD</name>
                <lei>549300V0VH76768N0J04</lei>
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                    <isin value="US86331WAC29"/>
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                <invCountry>KY</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
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                <name>BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES TRUST 2005-PWR7</name>
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                <cusip>07383F4C9</cusip>
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                    <isin value="US07383F4C96"/>
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            <invstOrSec>
                <name>BANC OF AMERICA MERRILL LYNCH COMMERCIAL MORTGAGE INC</name>
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                <fairValLevel>2</fairValLevel>
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            <invstOrSec>
                <name>CREDIT SUISSE COMMERCIAL MORTGAGE TRUST SERIES 2008-C1</name>
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                <cusip>22546NAH7</cusip>
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                    <isin value="US22546NAH70"/>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2041-02-15</maturityDt>
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            <invstOrSec>
                <name>BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES TRUST 2007-TOP28</name>
                <lei>N/A</lei>
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                <cusip>073945AN7</cusip>
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                    <isin value="US073945AN73"/>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
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            <invstOrSec>
                <name>CREDIT SUISSE COMMERCIAL MORTGAGE TRUST SERIES 2007-C4</name>
                <lei>N/A</lei>
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                <cusip>20173TAP0</cusip>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2039-09-15</maturityDt>
                    <couponKind>Variable</couponKind>
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                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES TRUST 2007-TOP26</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>07388VAH1</cusip>
                <identifiers>
                    <isin value="US07388VAH15"/>
                </identifiers>
                <balance>9775000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>8406500</valUSD>
                <pctVal>0.187311403405</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2045-01-12</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>5.45</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>COMM 2014-CCRE17 MORTGAGE TRUST</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>12631DAJ2</cusip>
                <identifiers>
                    <isin value="US12631DAJ28"/>
                </identifiers>
                <balance>226000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>212440</valUSD>
                <pctVal>0.004733531736</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2047-05-10</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.85</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY CAPITAL I TRUST 2006-HQ10</name>
                <lei>549300T7A7LUR8384661</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>61750HAH9</cusip>
                <identifiers>
                    <isin value="US61750HAH93"/>
                </identifiers>
                <balance>3862129.06</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3516882.14</valUSD>
                <pctVal>0.078362235086</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2041-11-12</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>5.448</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY CAPITAL I TRUST 2007-HQ11</name>
                <lei>5493004BO35O1811XR94</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>61751NAK8</cusip>
                <identifiers>
                    <isin value="US61751NAK81"/>
                </identifiers>
                <balance>6364504.81</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1591126.2</valUSD>
                <pctVal>0.035453051986</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2044-02-12</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>5.558</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TRIANGLE USA PETROLEUM CORP</name>
                <lei>549300NO673FCMGRHX90</lei>
                <title>COMMON STOCK</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <ticker value="PVT89600L902"/>
                </identifiers>
                <balance>35852</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>71704</valUSD>
                <pctVal>0.00159768951</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EC</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>3</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>WAYFAIR INC</name>
                <lei>54930027N9ZAVYFDHK53</lei>
                <title>CONV. NOTE</title>
                <cusip>94419LAD3</cusip>
                <identifiers>
                    <isin value="US94419LAD38"/>
                </identifiers>
                <balance>1735000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1798231</valUSD>
                <pctVal>0.04006770621</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>WAYFAIR INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="94419L101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="8.591" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CONMED CORP</name>
                <lei>Z6C0YCECH9DCU5ZIQW84</lei>
                <title>CONV. NOTE</title>
                <cusip>207410AF8</cusip>
                <identifiers>
                    <isin value="US207410AF81"/>
                </identifiers>
                <balance>1061000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1464232.37</valUSD>
                <pctVal>0.032625637321</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>CONMED CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="207410101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="11.2608" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TABULA RASA HEALTHCARE INC</name>
                <lei>549300K6KY242XRMEF28</lei>
                <title>CONV. NOTE</title>
                <cusip>873379AB7</cusip>
                <identifiers>
                    <isin value="US873379AB75"/>
                </identifiers>
                <balance>1114000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1113303.76</valUSD>
                <pctVal>0.024806339108</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>TABULA RASA HEALTHCARE INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="873379101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="14.2966" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SUPERNUS PHARMACEUTICALS INC</name>
                <lei>549300GRM36VBKISYJ58</lei>
                <title>CONV. NOTE</title>
                <cusip>868459AD0</cusip>
                <identifiers>
                    <isin value="US868459AD01"/>
                </identifiers>
                <balance>1518000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1374048.89</valUSD>
                <pctVal>0.030616192937</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>SUPERNUS PHARMACEUTICALS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="868459108"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="16.8545" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LIVE NATION ENTERTAINMENT INC</name>
                <lei>5493007B9BM9ZXJINO78</lei>
                <title>CONV. NOTE</title>
                <cusip>538034AQ2</cusip>
                <identifiers>
                    <isin value="US538034AQ25"/>
                </identifiers>
                <balance>2898000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3533821.2</valUSD>
                <pctVal>0.078739666728</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>LIVE NATION ENTERTAINMENT INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="538034109"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="14.7005" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BLACKSTONE MORTGAGE TRUST INC</name>
                <lei>549300OLDJ20R2Y2UW20</lei>
                <title>CONV. NOTE</title>
                <cusip>09257WAC4</cusip>
                <identifiers>
                    <isin value="US09257WAC47"/>
                </identifiers>
                <balance>1315000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1406432.12</valUSD>
                <pctVal>0.03133774748</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>BLACKSTONE MORTGAGE TRUST INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="09257W100"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="27.6052" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CELLNEX TELECOM SA</name>
                <lei>5493008T4YG3AQUI7P67</lei>
                <title>CONV. NOTE</title>
                <cusip>E2R41MAG9</cusip>
                <identifiers>
                    <isin value="XS1750026186"/>
                </identifiers>
                <balance>400000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.121699959"/>
                <valUSD>600921.59</valUSD>
                <pctVal>0.01338957549</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>ES</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-01-16</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>CELLNEX TELECOM SA</name>
                            <title>ORDINARY SHARES</title>
                            <curCd>EUR</curCd>
                            <identifiers>
<isin value="ES0105066007"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="2968.2222" curCd="EUR"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GUIDEWIRE SOFTWARE INC</name>
                <lei>549300WXSG0J8IXZCK32</lei>
                <title>CONV. NOTE</title>
                <cusip>40171VAA8</cusip>
                <identifiers>
                    <isin value="US40171VAA89"/>
                </identifiers>
                <balance>1119000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1314959.81</valUSD>
                <pctVal>0.029299585729</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>GUIDEWIRE SOFTWARE INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="40171V100"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="8.7912" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TRANSOCEAN INC</name>
                <lei>DOL4HJ22ADYSIWES4H94</lei>
                <title>CONV. NOTE</title>
                <cusip>893830BJ7</cusip>
                <identifiers>
                    <isin value="US893830BJ77"/>
                </identifiers>
                <balance>1277000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1273807.5</valUSD>
                <pctVal>0.028382640872</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-01-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>TRANSOCEAN LTD</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="H8817H100"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="97.2976" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ZENDESK INC</name>
                <lei>549300SLI6BN94BKKO36</lei>
                <title>CONV. NOTE</title>
                <cusip>98936JAB7</cusip>
                <identifiers>
                    <isin value="US98936JAB70"/>
                </identifiers>
                <balance>2187000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2982856.93</valUSD>
                <pctVal>0.066463226993</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>ZENDESK INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="98936J101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="15.8554" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>AKAMAI TECHNOLOGIES INC</name>
                <lei>OC1LZNN2LF5WTJ5RIL89</lei>
                <title>CONV. NOTE</title>
                <cusip>00971TAJ0</cusip>
                <identifiers>
                    <isin value="US00971TAJ07"/>
                </identifiers>
                <balance>3892000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4299674.19</valUSD>
                <pctVal>0.09580419993</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>AKAMAI TECHNOLOGIES INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="00971T101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="10.515" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JPMORGAN CHASE FINANCIAL CO LLC</name>
                <lei>549300NJFDJOFYVV6789</lei>
                <title>CONV. NOTE</title>
                <cusip>48129KAE0</cusip>
                <identifiers>
                    <isin value="US48129KAE01"/>
                </identifiers>
                <balance>2092000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2254734.58</valUSD>
                <pctVal>0.050239397905</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>VOYA FINANCIAL INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="929089100"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="14.6636" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SQUARE INC</name>
                <lei>549300OHIIUWSTIZME52</lei>
                <title>CONV. NOTE</title>
                <cusip>852234AD5</cusip>
                <identifiers>
                    <isin value="US852234AD56"/>
                </identifiers>
                <balance>2130000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2377565.55</valUSD>
                <pctVal>0.052976285001</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>SQUARE INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="852234103"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="12.8456" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LIGAND PHARMACEUTICALS INC</name>
                <lei>5493008K7TB0IKP37H79</lei>
                <title>CONV. NOTE</title>
                <cusip>53220KAF5</cusip>
                <identifiers>
                    <isin value="US53220KAF57"/>
                </identifiers>
                <balance>317000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>273583.45</valUSD>
                <pctVal>0.006095913872</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>LIGAND PHARMACEUTICALS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="53220K504"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="4.0244" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>VIAVI SOLUTIONS INC</name>
                <lei>5493006K3E3N1QOBF092</lei>
                <title>CONV. NOTE</title>
                <cusip>925550AE5</cusip>
                <identifiers>
                    <isin value="US925550AE55"/>
                </identifiers>
                <balance>1284000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1611352.55</valUSD>
                <pctVal>0.035903730152</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>VIAVI SOLUTIONS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="925550105"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="71.7231" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LUMENTUM HOLDINGS INC</name>
                <lei>549300JLWRRC38DWEF52</lei>
                <title>CONV. NOTE</title>
                <cusip>55024UAC3</cusip>
                <identifiers>
                    <isin value="US55024UAC36"/>
                </identifiers>
                <balance>1375000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1491875</valUSD>
                <pctVal>0.033241563071</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>LUMENTUM HOLDINGS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="55024U109"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="10.0711" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>EVERBRIDGE INC</name>
                <lei>549300WCY0UMR64ATW81</lei>
                <title>CONV. NOTE</title>
                <cusip>29978AAB0</cusip>
                <identifiers>
                    <isin value="US29978AAB08"/>
                </identifiers>
                <balance>259000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>255956.53</valUSD>
                <pctVal>0.005703155516</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>EVERBRIDGE INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="29978A104"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="8.8999" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>J2 GLOBAL INC</name>
                <lei>5493008OJYGLHD7MXA18</lei>
                <title>CONV. NOTE</title>
                <cusip>48123VAD4</cusip>
                <identifiers>
                    <isin value="US48123VAD47"/>
                </identifiers>
                <balance>1596000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1619126.5</valUSD>
                <pctVal>0.036076947243</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>J2 GLOBAL INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="48123V102"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="7.9864" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SEA LTD</name>
                <lei>529900OM6JLLW44YKI15</lei>
                <title>CONV. NOTE</title>
                <cusip>81141RAC4</cusip>
                <identifiers>
                    <isin value="US81141RAC43"/>
                </identifiers>
                <balance>471000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>513767.69</valUSD>
                <pctVal>0.011447635406</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>SG</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-12-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>SEA LTD</name>
                            <title>COMMON STOCK - ADR</title>
                            <curCd>SGD</curCd>
                            <identifiers>
<cusip value="81141R100"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="19.9475" curCd="SGD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SNAP INC</name>
                <lei>549300JNC0L6VP8A2Q35</lei>
                <title>CONV. NOTE</title>
                <cusip>83304AAA4</cusip>
                <identifiers>
                    <isin value="US83304AAA43"/>
                </identifiers>
                <balance>1935000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2013154.07</valUSD>
                <pctVal>0.044856565054</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>SNAP INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="83304A106"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="43.8481" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>IRONWOOD PHARMACEUTICALS INC</name>
                <lei>549300PC8MR6QHH6P296</lei>
                <title>CONV. NOTE</title>
                <cusip>46333XAE8</cusip>
                <identifiers>
                    <isin value="US46333XAE85"/>
                </identifiers>
                <balance>883000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1043263.18</valUSD>
                <pctVal>0.02324571348</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>IRONWOOD PHARMACEUTICALS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="46333X108"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="74.6687" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>AKAMAI TECHNOLOGIES INC</name>
                <lei>OC1LZNN2LF5WTJ5RIL89</lei>
                <title>CONV. NOTE</title>
                <cusip>00971TAK7</cusip>
                <identifiers>
                    <isin value="US00971TAK79"/>
                </identifiers>
                <balance>2286000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2257012.6</valUSD>
                <pctVal>0.050290156143</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-09-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>AKAMAI TECHNOLOGIES INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="00971T101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="8.6073" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BLACKLINE INC</name>
                <lei>529900P9N7PK9LV5EK56</lei>
                <title>CONV. NOTE</title>
                <cusip>09239BAA7</cusip>
                <identifiers>
                    <isin value="US09239BAA70"/>
                </identifiers>
                <balance>856000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>852255</valUSD>
                <pctVal>0.018989719873</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>BLACKLINE INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="09239B109"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="13.6244" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PROOFPOINT INC</name>
                <lei>529900C5FODDK0WSR085</lei>
                <title>CONV. NOTE</title>
                <cusip>743424AE3</cusip>
                <identifiers>
                    <isin value="US743424AE31"/>
                </identifiers>
                <balance>2522000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2597411.05</valUSD>
                <pctVal>0.057874824124</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>PROOFPOINT INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="743424103"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="6.4941" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>INSULET CORP</name>
                <lei>549300TZTYD2PYN92D43</lei>
                <title>CONV. NOTE</title>
                <cusip>45784PAJ0</cusip>
                <identifiers>
                    <isin value="US45784PAJ03"/>
                </identifiers>
                <balance>1567000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1624961.43</valUSD>
                <pctVal>0.036206959607</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-09-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>INSULET CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="45784P101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="4.4105" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>OKTA INC</name>
                <lei>549300N8J06I8MRHU620</lei>
                <title>CONV. NOTE</title>
                <cusip>679295AC9</cusip>
                <identifiers>
                    <isin value="US679295AC92"/>
                </identifiers>
                <balance>371000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>359264.06</valUSD>
                <pctVal>0.0080050265</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-09-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>OKTA INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="679295105"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="5.2991" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TALEND SA</name>
                <lei>549300CGJZ1TI6ZGS674</lei>
                <title>CONV. NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="XS2051126691"/>
                </identifiers>
                <balance>200000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.121699959"/>
                <valUSD>225919.96</valUSD>
                <pctVal>0.00503388863</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-09-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>TALEND SA</name>
                            <title>COMMON STOCK - ADR</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="874224207"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="19.3234" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SAILPOINT TECHNOLOGIES HOLDING INC</name>
                <lei>529900809B15HNZH5H79</lei>
                <title>CONV. NOTE</title>
                <cusip>78781PAA3</cusip>
                <identifiers>
                    <isin value="US78781PAA30"/>
                </identifiers>
                <balance>975000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1048846.84</valUSD>
                <pctVal>0.023370127111</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>SAILPOINT TECHNOLOGIES HOLDING INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="78781P105"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="35.1849" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ETSY INC</name>
                <lei>54930089Q7XT501AEA40</lei>
                <title>CONV. NOTE</title>
                <cusip>29786AAH9</cusip>
                <identifiers>
                    <isin value="US29786AAH95"/>
                </identifiers>
                <balance>2275000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2046233.72</valUSD>
                <pctVal>0.045593637042</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>ETSY INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="29786A106"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="11.404" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ZILLOW GROUP INC</name>
                <lei>2549002XEELQDIR6FU05</lei>
                <title>CONV. NOTE</title>
                <cusip>98954MAF8</cusip>
                <identifiers>
                    <isin value="US98954MAF86"/>
                </identifiers>
                <balance>2006000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2440650.05</valUSD>
                <pctVal>0.054381917098</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-09-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>ZILLOW GROUP INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="98954M200"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="22.983" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>8X8 INC</name>
                <lei>254900XWSOC5U1BRW939</lei>
                <title>CONV. NOTE</title>
                <cusip>282914AB6</cusip>
                <identifiers>
                    <isin value="US282914AB63"/>
                </identifiers>
                <balance>924000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>919931.68</valUSD>
                <pctVal>0.020497673707</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>8X8 INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="282914100"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="38.9484" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FORTIVE CORP</name>
                <lei>549300MU9YQJYHDQEF63</lei>
                <title>CONV. NOTE</title>
                <cusip>34959JAJ7</cusip>
                <identifiers>
                    <isin value="US34959JAJ79"/>
                </identifiers>
                <balance>3497000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3536253.3</valUSD>
                <pctVal>0.078793858135</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>FORTIVE CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="34959J108"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="9.3777" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>EXACT SCIENCES CORP</name>
                <lei>549300VM3X1FYD4N9Z14</lei>
                <title>CONV. NOTE</title>
                <cusip>30063PAB1</cusip>
                <identifiers>
                    <isin value="US30063PAB13"/>
                </identifiers>
                <balance>2912000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3292380.01</valUSD>
                <pctVal>0.073359938169</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>EXACT SCIENCES CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="30063P105"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="8.9554" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PLURALSIGHT INC</name>
                <lei>254900B3VHPCKNREOX50</lei>
                <title>CONV. NOTE</title>
                <cusip>72941BAA4</cusip>
                <identifiers>
                    <isin value="US72941BAA44"/>
                </identifiers>
                <balance>2014000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1747997.38</valUSD>
                <pctVal>0.038948414013</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>PLURALSIGHT INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="72941B106"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="25.8023" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CHEGG INC</name>
                <lei>549300AKX7O8JG0O3G77</lei>
                <title>CONV. NOTE</title>
                <cusip>163092AC3</cusip>
                <identifiers>
                    <isin value="US163092AC35"/>
                </identifiers>
                <balance>2835000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2915820.91</valUSD>
                <pctVal>0.064969548175</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>CHEGG INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="163092109"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="19.3956" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>IQIYI INC</name>
                <lei>222100XL8T2Q5B8MS302</lei>
                <title>CONV. NOTE</title>
                <cusip>46267XAC2</cusip>
                <identifiers>
                    <isin value="US46267XAC20"/>
                </identifiers>
                <balance>220000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>218376.24</valUSD>
                <pctVal>0.004865801461</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>IQIYI INC</name>
                            <title>COMMON STOCK - ADR</title>
                            <curCd>CNY</curCd>
                            <identifiers>
<cusip value="46267X108"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="33.0003" curCd="CNY"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LIVEPERSON INC</name>
                <lei>549300IN2P1JZ20G7N40</lei>
                <title>CONV. NOTE</title>
                <cusip>538146AA9</cusip>
                <identifiers>
                    <isin value="US538146AA93"/>
                </identifiers>
                <balance>637000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>763090.77</valUSD>
                <pctVal>0.017002986148</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>LIVEPERSON INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="538146101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="25.9182" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LIBERTY MEDIA CORP</name>
                <lei>549300ZKUTPIBZLWLL89</lei>
                <title>CONV. NOTE</title>
                <cusip>531229AB8</cusip>
                <identifiers>
                    <isin value="US531229AB89"/>
                </identifiers>
                <balance>2321000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3123137.6</valUSD>
                <pctVal>0.069588923677</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>LIBERTY MEDIA CORP-LIBERTY FORMULA ONE</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="531229870"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                        <dbtSecRefInstrument>
                            <name>LIBERTY MEDIA CORP-LIBERTY SIRIUSXM</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="531229409"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                        <dbtSecRefInstrument>
                            <name>LIBERTY MEDIA CORP-LIBERTY BRAVES</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="531229706"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="5.2714" curCd="USD"/>
                        <currencyInfo convRatio="21.0859" curCd="USD"/>
                        <currencyInfo convRatio="2.29204" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>IH MERGER SUB LLC</name>
                <lei>N/A</lei>
                <title>CONV. NOTE</title>
                <cusip>19625XAB8</cusip>
                <identifiers>
                    <isin value="US19625XAB82"/>
                </identifiers>
                <balance>1475000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1984338.09</valUSD>
                <pctVal>0.044214495029</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>INVITATION HOMES INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="46187W107"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="43.7694" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NICE SYSTEMS INC</name>
                <lei>254900T6KBE4O3728267</lei>
                <title>CONV. NOTE</title>
                <cusip>65366HAB9</cusip>
                <identifiers>
                    <isin value="US65366HAB96"/>
                </identifiers>
                <balance>101000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>192468.13</valUSD>
                <pctVal>0.004288523826</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>NICE LTD</name>
                            <title>COMMON STOCK - ADR</title>
                            <curCd>ILS</curCd>
                            <identifiers>
<cusip value="653656108"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="12.026" curCd="ILS"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HORIZON GLOBAL CORP</name>
                <lei>549300D1ZZV3IWN54G85</lei>
                <title>CONV. NOTE</title>
                <cusip>44052WAA2</cusip>
                <identifiers>
                    <isin value="US44052WAA27"/>
                </identifiers>
                <balance>283000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>225007.36</valUSD>
                <pctVal>0.005013554319</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-07-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>HORIZON GLOBAL CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="44052W104"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="40.04" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LIBERTY MEDIA CORP-LIBERTY FORMULA ONE</name>
                <lei>N/A</lei>
                <title>CONV. NOTE</title>
                <cusip>531229AF9</cusip>
                <identifiers>
                    <isin value="US531229AF93"/>
                </identifiers>
                <balance>1704000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2266665.73</valUSD>
                <pctVal>0.050505244625</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-01-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>LIBERTY MEDIA CORP-LIBERTY FORMULA ONE</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="531229854"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="27.1091" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>OSI SYSTEMS INC</name>
                <lei>DDX3MPX1Y8YD30050X33</lei>
                <title>CONV. NOTE</title>
                <cusip>671044AD7</cusip>
                <identifiers>
                    <isin value="US671044AD76"/>
                </identifiers>
                <balance>186000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>202840.53</valUSD>
                <pctVal>0.004519638892</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-09-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>OSI SYSTEMS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="671044105"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="9.3056" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SILICON LABORATORIES INC</name>
                <lei>4PRDF8Q9TDHRVZKZSZ47</lei>
                <title>CONV. NOTE</title>
                <cusip>826919AB8</cusip>
                <identifiers>
                    <isin value="US826919AB88"/>
                </identifiers>
                <balance>767000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1018438.32</valUSD>
                <pctVal>0.022692572533</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>SILICON LABORATORIES INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="826919102"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="10.7744" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LUMENTUM HOLDINGS INC</name>
                <lei>549300JLWRRC38DWEF52</lei>
                <title>CONV. NOTE</title>
                <cusip>55024UAB5</cusip>
                <identifiers>
                    <isin value="US55024UAB52"/>
                </identifiers>
                <balance>1097000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1598877.5</valUSD>
                <pctVal>0.035625764396</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>LUMENTUM HOLDINGS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="55024U109"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="16.4965" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PACIRA BIOSCIENCES INC</name>
                <lei>N/A</lei>
                <title>CONV. NOTE</title>
                <cusip>695127AD2</cusip>
                <identifiers>
                    <isin value="US695127AD26"/>
                </identifiers>
                <balance>1216000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1264047.41</valUSD>
                <pctVal>0.028165169135</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>PACIRA BIOSCIENCES INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="695127100"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="14.9491" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>INPHI CORP</name>
                <lei>549300DCMERAAZFGT726</lei>
                <title>CONV. NOTE</title>
                <cusip>45772FAC1</cusip>
                <identifiers>
                    <isin value="US45772FAC14"/>
                </identifiers>
                <balance>1560000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2204834.24</valUSD>
                <pctVal>0.049127531764</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2021-09-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>INPHI CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="45772F107"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="17.7508" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>VERINT SYSTEMS INC</name>
                <lei>549300KEQJS5FRVUCO94</lei>
                <title>CONV. NOTE</title>
                <cusip>92343XAA8</cusip>
                <identifiers>
                    <isin value="US92343XAA81"/>
                </identifiers>
                <balance>1161000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1249274.34</valUSD>
                <pctVal>0.027835999508</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2021-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>VERINT SYSTEMS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="92343X100"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="15.5129" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BOOKING HOLDINGS INC</name>
                <lei>FXM8FAOHMYDIPD38UZ17</lei>
                <title>CONV. NOTE</title>
                <cusip>741503AX4</cusip>
                <identifiers>
                    <isin value="US741503AX44"/>
                </identifiers>
                <balance>3371000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3884654.24</valUSD>
                <pctVal>0.086556835477</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2021-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.9</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>BOOKING HOLDINGS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="09857L108"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio=".4865" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TWITTER INC</name>
                <lei>549300I8RX485XMK6836</lei>
                <title>CONV. NOTE</title>
                <cusip>90184LAD4</cusip>
                <identifiers>
                    <isin value="US90184LAD47"/>
                </identifiers>
                <balance>3011000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2928197.5</valUSD>
                <pctVal>0.065245320071</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2021-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>TWITTER INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="90184L102"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="12.8793" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ENVESTNET INC</name>
                <lei>549300HLWZ5OKIDM8737</lei>
                <title>CONV. NOTE</title>
                <cusip>29404KAB2</cusip>
                <identifiers>
                    <isin value="US29404KAB26"/>
                </identifiers>
                <balance>1696000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2029515.18</valUSD>
                <pctVal>0.045221118967</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>ENVESTNET INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="29404K106"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="14.6381" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FIVE9 INC</name>
                <lei>254900MXP6EWY0SFFR59</lei>
                <title>CONV. NOTE</title>
                <cusip>338307AB7</cusip>
                <identifiers>
                    <isin value="US338307AB76"/>
                </identifiers>
                <balance>588000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>991667.54</valUSD>
                <pctVal>0.022096073114</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>FIVE9 INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="338307101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="24.4978" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NEW RELIC INC</name>
                <lei>549300AB8FY2HQILL804</lei>
                <title>CONV. NOTE</title>
                <cusip>64829BAB6</cusip>
                <identifiers>
                    <isin value="US64829BAB62"/>
                </identifiers>
                <balance>1493000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1450873.06</valUSD>
                <pctVal>0.032327968718</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>NEW RELIC INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="64829B100"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="9.0244" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TELADOC HEALTH INC</name>
                <lei>549300I2PVFBC9MFAC61</lei>
                <title>CONV. NOTE</title>
                <cusip>87918AAC9</cusip>
                <identifiers>
                    <isin value="US87918AAC99"/>
                </identifiers>
                <balance>1149000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1992746.74</valUSD>
                <pctVal>0.044401854338</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>TELADOC HEALTH INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="87918A105"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="18.6621" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TWILIO INC</name>
                <lei>5493004W8TRGD63APX93</lei>
                <title>CONV. NOTE</title>
                <cusip>90138FAB8</cusip>
                <identifiers>
                    <isin value="US90138FAB85"/>
                </identifiers>
                <balance>681000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1039501.47</valUSD>
                <pctVal>0.023161896055</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>TWILIO INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="90138F102"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="14.104" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SIKA AG</name>
                <lei>549300R3N69ECGYPU434</lei>
                <title>CONV. NOTE</title>
                <cusip>H7631KBG3</cusip>
                <identifiers>
                    <isin value="CH0413990240"/>
                </identifiers>
                <balance>640000</balance>
                <units>PA</units>
                <currencyConditional curCd="CHF" exchangeRt="1.033271337"/>
                <valUSD>770340.98</valUSD>
                <pctVal>0.017164533404</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CH</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-06-05</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.15</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>SIKA AG</name>
                            <title>ORDINARY SHARES</title>
                            <curCd>CHF</curCd>
                            <identifiers>
<isin value="CH0418792922"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="105.2133" curCd="CHF"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>WORKDAY INC</name>
                <lei>549300J0DYC0N31V7G13</lei>
                <title>CONV. NOTE</title>
                <cusip>98138HAF8</cusip>
                <identifiers>
                    <isin value="US98138HAF82"/>
                </identifiers>
                <balance>1416000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1808840.01</valUSD>
                <pctVal>0.040304093356</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>WORKDAY INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="98138H101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="6.7982" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>AIR TRANSPORT SERVICES GROUP INC</name>
                <lei>5493000F3MSFGIXTQE27</lei>
                <title>CONV. NOTE</title>
                <cusip>00922RAB1</cusip>
                <identifiers>
                    <isin value="US00922RAB15"/>
                </identifiers>
                <balance>1242000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1208483.68</valUSD>
                <pctVal>0.026927112841</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>AIR TRANSPORT SERVICES GROUP INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="00922R105"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="31.3475" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MARRIOTT VACATIONS WORLDWIDE CORP</name>
                <lei>549300WA6BT5H4F7IO94</lei>
                <title>CONV. NOTE</title>
                <cusip>57164YAB3</cusip>
                <identifiers>
                    <isin value="US57164YAB39"/>
                </identifiers>
                <balance>2004000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2137043.79</valUSD>
                <pctVal>0.047617042936</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>MARRIOTT VACATIONS WORLDWIDE CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="57164Y107"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="6.7755" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DEUTSCHE WOHNEN SE</name>
                <lei>529900QE24Q67I3FWZ10</lei>
                <title>CONV. NOTE</title>
                <cusip>D2046UAS0</cusip>
                <identifiers>
                    <isin value="DE000A2GS377"/>
                </identifiers>
                <balance>600000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.121699959"/>
                <valUSD>706940.18</valUSD>
                <pctVal>0.015751853594</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>DE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-01-05</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.6</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>DEUTSCHE WOHNEN SE</name>
                            <title>ORDINARY SHARES</title>
                            <curCd>EUR</curCd>
                            <identifiers>
<isin value="DE000A0HN5C6"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="2003.2493" curCd="EUR"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PATRICK INDUSTRIES INC</name>
                <lei>549300FZ5ZTCCJ3Z5W14</lei>
                <title>CONV. NOTE</title>
                <cusip>703343AB9</cusip>
                <identifiers>
                    <isin value="US703343AB93"/>
                </identifiers>
                <balance>157000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>150818.13</valUSD>
                <pctVal>0.003360489572</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>PATRICK INDUSTRIES INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="703343103"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="11.3785" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>WESTERN DIGITAL CORP</name>
                <lei>549300QQXOOYEF89IC56</lei>
                <title>CONV. NOTE</title>
                <cusip>958102AP0</cusip>
                <identifiers>
                    <isin value="US958102AP07"/>
                </identifiers>
                <balance>193000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>189019.38</valUSD>
                <pctVal>0.004211679693</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>WESTERN DIGITAL CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="958102105"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="8.2026" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TESLA INC</name>
                <lei>54930043XZGB27CTOV49</lei>
                <title>CONV. NOTE</title>
                <cusip>88160RAD3</cusip>
                <identifiers>
                    <isin value="US88160RAD35"/>
                </identifiers>
                <balance>351000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>496428.88</valUSD>
                <pctVal>0.01106129664</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>TESLA INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="88160R101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="3.0534" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ENCORE CAPITAL GROUP INC</name>
                <lei>5493000UVC6H49CIH830</lei>
                <title>CONV. NOTE</title>
                <cusip>292554AK8</cusip>
                <identifiers>
                    <isin value="US292554AK82"/>
                </identifiers>
                <balance>1088000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1123244.56</valUSD>
                <pctVal>0.025027837376</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>ENCORE CAPITAL GROUP INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="292554102"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="21.9467" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NUANCE COMMUNICATIONS INC</name>
                <lei>AEMSOT3SS15TNMJCE605</lei>
                <title>CONV. NOTE</title>
                <cusip>67020YAN0</cusip>
                <identifiers>
                    <isin value="US67020YAN04"/>
                </identifiers>
                <balance>2329000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2587058.82</valUSD>
                <pctVal>0.057644158481</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>NUANCE COMMUNICATIONS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="67020Y100"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="45.0106" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ON SEMICONDUCTOR CORP</name>
                <lei>ZV20P4CNJVT8V1ZGJ064</lei>
                <title>CONV. NOTE</title>
                <cusip>682189AP0</cusip>
                <identifiers>
                    <isin value="US682189AP09"/>
                </identifiers>
                <balance>3895000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>5370231.25</valUSD>
                <pctVal>0.119658068405</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>ON SEMICONDUCTOR CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="682189105"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="48.2567" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NEUROCRINE BIOSCIENCES INC</name>
                <lei>549300FECER0XBN49756</lei>
                <title>CONV. NOTE</title>
                <cusip>64125CAD1</cusip>
                <identifiers>
                    <isin value="US64125CAD11"/>
                </identifiers>
                <balance>1039000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1591007.45</valUSD>
                <pctVal>0.03545040603</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>NEUROCRINE BIOSCIENCES INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="64125C109"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="13.1711" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HUBSPOT INC</name>
                <lei>529900BLNVEW0MVKJB37</lei>
                <title>CONV. NOTE</title>
                <cusip>443573AB6</cusip>
                <identifiers>
                    <isin value="US443573AB63"/>
                </identifiers>
                <balance>116000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>200573.06</valUSD>
                <pctVal>0.004469115726</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>HUBSPOT INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="443573100"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="10.5519" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>REALPAGE INC</name>
                <lei>5493001RSFZX4122A604</lei>
                <title>CONV. NOTE</title>
                <cusip>75606NAB5</cusip>
                <identifiers>
                    <isin value="US75606NAB55"/>
                </identifiers>
                <balance>74000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>103045</valUSD>
                <pctVal>0.00229602136</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>REALPAGE INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="75606N109"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="23.8393" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BP CAPITAL MARKETS PLC</name>
                <lei>549300CRVT18MXX0AG93</lei>
                <title>CONV. NOTE</title>
                <cusip>G1279MQB5</cusip>
                <identifiers>
                    <isin value="XS1410519976"/>
                </identifiers>
                <balance>300000</balance>
                <units>PA</units>
                <currencyConditional curCd="GBP" exchangeRt="1.324599805"/>
                <valUSD>480543.62</valUSD>
                <pctVal>0.01070734549</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-04-28</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>BP PLC</name>
                            <title>ORDINARY SHARES</title>
                            <curCd>GBP</curCd>
                            <identifiers>
<isin value="GB0007980591"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="23612.7509" curCd="GBP"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MTU AERO ENGINES AG</name>
                <lei>529900807L67JY81RD65</lei>
                <title>CONV. NOTE</title>
                <cusip>D5565HAC8</cusip>
                <identifiers>
                    <isin value="DE000A2AAQB8"/>
                </identifiers>
                <balance>100000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.121699959"/>
                <valUSD>232585.61</valUSD>
                <pctVal>0.005182410875</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>DE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-05-17</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>MTU AERO ENGINES AG</name>
                            <title>ORDINARY SHARES</title>
                            <curCd>EUR</curCd>
                            <identifiers>
<isin value="DE000A0D9PT0"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="810.884" curCd="EUR"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TOTAL S.A.</name>
                <lei>529900S21EQ1BO4ESM68</lei>
                <title>CONV. NOTE</title>
                <cusip>F92124BF6</cusip>
                <identifiers>
                    <isin value="XS1327914062"/>
                </identifiers>
                <balance>800000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>847368</valUSD>
                <pctVal>0.018880829035</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>FR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-12-02</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>TOTAL S.A.</name>
                            <title>ORDINARY SHARES</title>
                            <curCd>EUR</curCd>
                            <identifiers>
<isin value="FR0000120271"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="3437.0994" curCd="EUR"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BASF SE</name>
                <lei>529900PM64WH8AF1E917</lei>
                <title>CONV. NOTE</title>
                <cusip>D06216FT3</cusip>
                <identifiers>
                    <isin value="DE000A2BPEU0"/>
                </identifiers>
                <balance>500000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>482420</valUSD>
                <pctVal>0.010749154491</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>DE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-03-09</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.925</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>BASF SE</name>
                            <title>ORDINARY SHARES</title>
                            <curCd>EUR</curCd>
                            <identifiers>
<cusip value="D06216101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="2117.8955" curCd="EUR"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BAYER AG</name>
                <lei>549300J4U55H3WP1XT59</lei>
                <title>CONV. NOTE</title>
                <cusip>D07112MS7</cusip>
                <identifiers>
                    <isin value="DE000A2E4GF6"/>
                </identifiers>
                <balance>400000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.121699959"/>
                <valUSD>448038.37</valUSD>
                <pctVal>0.00998307213</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>DE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.05</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>COVESTRO AG</name>
                            <title>ORDINARY SHARES</title>
                            <curCd>EUR</curCd>
                            <identifiers>
<isin value="DE0006062144"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="1273.0518" curCd="EUR"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SYMRISE AG</name>
                <lei>529900D82I6R9601CF26</lei>
                <title>CONV. NOTE</title>
                <cusip>D8T7JUAD8</cusip>
                <identifiers>
                    <isin value="DE000SYM7787"/>
                </identifiers>
                <balance>200000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.121699959"/>
                <valUSD>266430.66</valUSD>
                <pctVal>0.005936537303</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>DE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-06-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.238</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>SYMRISE AG</name>
                            <title>ORDINARY SHARES</title>
                            <curCd>EUR</curCd>
                            <identifiers>
<isin value="DE000SYM9999"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="1088.619" curCd="EUR"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>II-VI INC</name>
                <lei>549300O5C25A0MMHHU33</lei>
                <title>CONV. NOTE</title>
                <cusip>902104AB4</cusip>
                <identifiers>
                    <isin value="US902104AB41"/>
                </identifiers>
                <balance>2083000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2122056.25</valUSD>
                <pctVal>0.047283094545</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-09-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>II-VI INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="902104108"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="21.25" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BIOMARIN PHARMACEUTICAL INC</name>
                <lei>NSLL8ITTRR0J5HEMR848</lei>
                <title>CONV. NOTE</title>
                <cusip>09061GAH4</cusip>
                <identifiers>
                    <isin value="US09061GAH48"/>
                </identifiers>
                <balance>1796000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1897471.76</valUSD>
                <pctVal>0.042278962503</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.599</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>BIOMARIN PHARMACEUTICAL INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="09061G101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="8.0212" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JAZZ INVESTMENTS I LTD</name>
                <lei>N/A</lei>
                <title>CONV. NOTE</title>
                <cusip>472145AD3</cusip>
                <identifiers>
                    <isin value="US472145AD36"/>
                </identifiers>
                <balance>2117000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2131554.38</valUSD>
                <pctVal>0.047494729359</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>IE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>JAZZ PHARMACEUTICALS PLC</name>
                            <title>ORDINARY SHARES</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="G50871105"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="4.5659" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>IAC FINANCECO 2 INC</name>
                <lei>549300IPGK4BWL134U96</lei>
                <title>CONV. NOTE</title>
                <cusip>44932FAA5</cusip>
                <identifiers>
                    <isin value="US44932FAA57"/>
                </identifiers>
                <balance>4123000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4623119.9</valUSD>
                <pctVal>0.103011131455</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>IAC/INTERACTIVE CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="44919P508"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="3.3028" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>COUPA SOFTWARE INC</name>
                <lei>549300Q95ICR2GFL2K37</lei>
                <title>CONV. NOTE</title>
                <cusip>22266LAD8</cusip>
                <identifiers>
                    <isin value="US22266LAD82"/>
                </identifiers>
                <balance>442000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>522604.19</valUSD>
                <pctVal>0.011644527955</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>COUPA SOFTWARE INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="22266L106"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="6.2658" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>VONAGE HOLDINGS CORP</name>
                <lei>529900W7N0N4WLN1JY21</lei>
                <title>CONV. NOTE</title>
                <cusip>92886TAH5</cusip>
                <identifiers>
                    <isin value="US92886TAH59"/>
                </identifiers>
                <balance>1494000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1333986.61</valUSD>
                <pctVal>0.02972353584</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>VONAGE HOLDINGS CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="92886T201"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="59.8256" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>Q2 HOLDINGS INC</name>
                <lei>549300M9RKR9DZXWS696</lei>
                <title>CONV. NOTE</title>
                <cusip>74736LAC3</cusip>
                <identifiers>
                    <isin value="US74736LAC37"/>
                </identifiers>
                <balance>1381000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1587168.73</valUSD>
                <pctVal>0.035364872688</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>Q2 HOLDINGS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="74736L109"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="11.2851" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ZYNGA INC</name>
                <lei>N/A</lei>
                <title>CONV. NOTE</title>
                <cusip>98986TAA6</cusip>
                <identifiers>
                    <isin value="US98986TAA60"/>
                </identifiers>
                <balance>1642000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1672787.5</valUSD>
                <pctVal>0.037272607414</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>ZYNGA INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="98986T108"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="120.3695" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PALO ALTO NETWORKS INC</name>
                <lei>549300QXR2YVZV231H43</lei>
                <title>CONV. NOTE</title>
                <cusip>697435AD7</cusip>
                <identifiers>
                    <isin value="US697435AD78"/>
                </identifiers>
                <balance>3711000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4093199.27</valUSD>
                <pctVal>0.091203580525</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-07-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>PALO ALTO NETWORKS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="697435105"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="3.7545" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>REDFIN CORP</name>
                <lei>549300HXWD3JEMZU3O57</lei>
                <title>CONV. NOTE</title>
                <cusip>75737FAA6</cusip>
                <identifiers>
                    <isin value="US75737FAA66"/>
                </identifiers>
                <balance>663000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>655281.83</valUSD>
                <pctVal>0.014600815941</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>REDFIN CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="75737F108"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="32.7332" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>RAPID7 INC</name>
                <lei>549300GNVG5D60KEYN14</lei>
                <title>CONV. NOTE</title>
                <cusip>753422AB0</cusip>
                <identifiers>
                    <isin value="US753422AB01"/>
                </identifiers>
                <balance>575000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>856773.89</valUSD>
                <pctVal>0.019090408581</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>RAPID7 INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="753422104"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="24.046" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CREE INC</name>
                <lei>549300OGU88P3AW3TO93</lei>
                <title>CONV. NOTE</title>
                <cusip>225447AB7</cusip>
                <identifiers>
                    <isin value="US225447AB76"/>
                </identifiers>
                <balance>1935000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2048918.13</valUSD>
                <pctVal>0.045653450353</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-09-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>CREE INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="225447101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="16.6745" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FTI CONSULTING INC</name>
                <lei>549300K17GM8EQD0FQ48</lei>
                <title>CONV. NOTE</title>
                <cusip>302941AP4</cusip>
                <identifiers>
                    <isin value="US302941AP45"/>
                </identifiers>
                <balance>1283000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1605169.56</valUSD>
                <pctVal>0.035765962409</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>FTI CONSULTING INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="302941109"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="9.8643" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DOCUSIGN INC</name>
                <lei>549300Q7PVDWRZ39JG09</lei>
                <title>CONV. NOTE</title>
                <cusip>256163AB2</cusip>
                <identifiers>
                    <isin value="US256163AB24"/>
                </identifiers>
                <balance>2013000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2499514.54</valUSD>
                <pctVal>0.055693520053</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>DOCUSIGN INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="256163106"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="13.986" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SPLUNK INC</name>
                <lei>549300XGDSGBP6UEI867</lei>
                <title>CONV. NOTE</title>
                <cusip>848637AD6</cusip>
                <identifiers>
                    <isin value="US848637AD65"/>
                </identifiers>
                <balance>4290000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>5290106.26</valUSD>
                <pctVal>0.117872744628</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>SPLUNK INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="848637104"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="6.7433" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ADIDAS AG</name>
                <lei>549300JSX0Z4CW0V5023</lei>
                <title>CONV. NOTE</title>
                <cusip>D0066BSB9</cusip>
                <identifiers>
                    <isin value="DE000A2LQRW5"/>
                </identifiers>
                <balance>400000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.121699959"/>
                <valUSD>550018.84</valUSD>
                <pctVal>0.012255373915</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>DE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-09-12</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.05</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>ADIDAS AG</name>
                            <title>ORDINARY SHARES</title>
                            <curCd>EUR</curCd>
                            <identifiers>
<isin value="DE000A1EWWW0"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="687.383" curCd="EUR"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DEXCOM INC</name>
                <lei>549300YSK3QDSFR5EU59</lei>
                <title>CONV. NOTE</title>
                <cusip>252131AH0</cusip>
                <identifiers>
                    <isin value="US252131AH00"/>
                </identifiers>
                <balance>2569000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3805195.55</valUSD>
                <pctVal>0.08478635802</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-12-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>DEXCOM INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="252131107"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="6.0869" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>QIAGEN NV</name>
                <lei>54930036WK3GMCN17Z57</lei>
                <title>CONVERTIBLE BONDS</title>
                <cusip>N72482AT4</cusip>
                <identifiers>
                    <isin value="XS1908221507"/>
                </identifiers>
                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>203250</valUSD>
                <pctVal>0.004528762593</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NL</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-11-13</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>QIAGEN NV</name>
                            <title>ORDINARY SHARES</title>
                            <curCd>EUR</curCd>
                            <identifiers>
<cusip value="N72482123"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="4360.3098" curCd="EUR"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GCI LIBERTY INC</name>
                <lei>N/A</lei>
                <title>CONVERTIBLE BONDS</title>
                <cusip>36164VAA5</cusip>
                <identifiers>
                    <isin value="US36164VAA52"/>
                </identifiers>
                <balance>2773000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3817034.5</valUSD>
                <pctVal>0.085050150365</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-09-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>CHARTER COMMUNICATIONS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="16119P108"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="2.6989" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>XERO INVESTMENTS LTD</name>
                <lei>25490002CIY32NFE4689</lei>
                <title>CONVERTIBLE BONDS</title>
                <cusip>Q9860KAA5</cusip>
                <identifiers>
                    <isin value="XS1884744035"/>
                </identifiers>
                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>275307.11</valUSD>
                <pctVal>0.006134320007</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NZ</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-10-04</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>XERO LTD</name>
                            <title>ORDINARY SHARES</title>
                            <curCd>NZD</curCd>
                            <identifiers>
<isin value="NZXROE0001S2"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="21.5803" curCd="NZD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>STMICROELECTRONICS NV</name>
                <lei>213800Z8NOHIKRI42W10</lei>
                <title>CONVERTIBLE BONDS</title>
                <cusip>N83574AE8</cusip>
                <identifiers>
                    <isin value="XS1638065414"/>
                </identifiers>
                <balance>600000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>856044</valUSD>
                <pctVal>0.019074145366</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CH</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-07-03</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>STMICROELECTRONICS NV</name>
                            <title>ORDINARY SHARES</title>
                            <curCd>CHF</curCd>
                            <identifiers>
<isin value="NL0000226223"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="9737.0984" curCd="CHF"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DP WORLD PLC</name>
                <lei>549300M3U2DNF4QVSS04</lei>
                <title>CONVERTIBLE BONDS</title>
                <cusip>M2851MAA1</cusip>
                <identifiers>
                    <isin value="XS1078764302"/>
                </identifiers>
                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>198130</valUSD>
                <pctVal>0.004414680111</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>AE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-06-19</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>DP WORLD PLC</name>
                            <title>ORDINARY SHARES</title>
                            <curCd>AED</curCd>
                            <identifiers>
<isin value="AEDFXA0M6V00"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="7586.0159" curCd="AED"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NRG ENERGY INC</name>
                <lei>5E2UPK5SW04M13XY7I38</lei>
                <title>CONVERTIBLE BONDS</title>
                <cusip>629377CG5</cusip>
                <identifiers>
                    <isin value="US629377CG50"/>
                </identifiers>
                <balance>2662000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3018042.5</valUSD>
                <pctVal>0.067247222531</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2048-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>NRG ENERGY INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="629377508"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="20.9479" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LIBERTY MEDIA CORP</name>
                <lei>549300ZKUTPIBZLWLL89</lei>
                <title>CONVERTIBLE BONDS</title>
                <cusip>531229AJ1</cusip>
                <identifiers>
                    <isin value="US531229AJ16"/>
                </identifiers>
                <balance>1481000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1551347.5</valUSD>
                <pctVal>0.034566713543</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-12-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>SIRIUS XM HOLDINGS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="82968B103"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="116.0227" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>EURONET WORLDWIDE INC</name>
                <lei>YG3575C4DSHJPA5KET68</lei>
                <title>CONVERTIBLE BONDS</title>
                <cusip>298736AJ8</cusip>
                <identifiers>
                    <isin value="US298736AJ83"/>
                </identifiers>
                <balance>1223000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1458776.97</valUSD>
                <pctVal>0.032504081545</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>EURONET WORLDWIDE INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="298736109"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="5.2987" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MICROCHIP TECHNOLOGY INC</name>
                <lei>5493007PTFULNYZJ1R12</lei>
                <title>CONVERTIBLE BONDS</title>
                <cusip>595017AF1</cusip>
                <identifiers>
                    <isin value="US595017AF11"/>
                </identifiers>
                <balance>2529000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3603825</valUSD>
                <pctVal>0.080299472834</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>MICROCHIP TECHNOLOGY INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="595017104"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="10.4213" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DISH NETWORK CORP</name>
                <lei>529900U350CWHH15G169</lei>
                <title>CONVERTIBLE BONDS</title>
                <cusip>25470MAB5</cusip>
                <identifiers>
                    <isin value="US25470MAB54"/>
                </identifiers>
                <balance>4796000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4613272.4</valUSD>
                <pctVal>0.102791712072</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>DISH NETWORK CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="25470M109"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="15.3429" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LIBERTY INTERACTIVE LLC</name>
                <lei>549300SZUIU7Z32Q0664</lei>
                <title>CONVERTIBLE BONDS</title>
                <cusip>530610AD6</cusip>
                <identifiers>
                    <isin value="US530610AD60"/>
                </identifiers>
                <balance>195000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>286034.31</valUSD>
                <pctVal>0.006373340633</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-09-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>CHARTER COMMUNICATIONS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="16119P108"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="2.9317" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CHENIERE ENERGY INC</name>
                <lei>MIHC87W9WTYSYZWV1J40</lei>
                <title>CONVERTIBLE BONDS</title>
                <cusip>16411RAG4</cusip>
                <identifiers>
                    <isin value="US16411RAG48"/>
                </identifiers>
                <balance>326000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>256742.15</valUSD>
                <pctVal>0.005720660492</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2045-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>CHENIERE ENERGY INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="16411R208"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="7.2265" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SUEZ</name>
                <lei>549300JQIZM6CL7POC81</lei>
                <title>CONVERTIBLE PREF</title>
                <cusip>F4984PBB5</cusip>
                <identifiers>
                    <isin value="FR0011766120"/>
                </identifiers>
                <balance>19037</balance>
                <units>NS</units>
                <currencyConditional curCd="EUR" exchangeRt="1.121699959"/>
                <valUSD>391415.76</valUSD>
                <pctVal>0.008721422152</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EP</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>FR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LVMH MOET HENNESSY LOUIS VUITTON SA</name>
                <lei>IOG4E947OATN0KJYSD45</lei>
                <title>CONVERTIBLE PREF</title>
                <cusip>F58485AW7</cusip>
                <identifiers>
                    <isin value="FR0013113073"/>
                </identifiers>
                <balance>596</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>298883.87</valUSD>
                <pctVal>0.006659651121</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EP</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>FR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NEXITY SA</name>
                <lei>969500JJ71T2DIPDVV84</lei>
                <title>CONVERTIBLE PREF</title>
                <cusip>F6527BAV2</cusip>
                <identifiers>
                    <isin value="FR0013321429"/>
                </identifiers>
                <balance>2850</balance>
                <units>NS</units>
                <currencyConditional curCd="EUR" exchangeRt="1.121699959"/>
                <valUSD>224140.62</valUSD>
                <pctVal>0.004994241848</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>EP</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>FR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CHC GROUP LLC / CHC FINANCE LTD</name>
                <lei>N/A</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>12550UAB8</cusip>
                <identifiers>
                    <isin value="US12550UAB89"/>
                </identifiers>
                <balance>566658</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>113331.6</valUSD>
                <pctVal>0.002525224653</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>Y</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>CHC GROUP LLC</name>
                            <title>STOCK UNIT</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="12550E306"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="125" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ARCHER OBLIGATIONS SA</name>
                <lei>9695004P3VIN4H10XX33</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>F0367QAA1</cusip>
                <identifiers>
                    <isin value="FR0013284130"/>
                </identifiers>
                <balance>100000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.121699959"/>
                <valUSD>165754.72</valUSD>
                <pctVal>0.003693302709</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>FR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-03-31</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>KERING SA</name>
                            <title>ORDINARY SHARES</title>
                            <curCd>EUR</curCd>
                            <identifiers>
<isin value="FR0000121485"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="242.7688" curCd="EUR"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NUTANIX INC</name>
                <lei>549300X7J6E8TKVIXW09</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>67059NAB4</cusip>
                <identifiers>
                    <isin value="US67059NAB47"/>
                </identifiers>
                <balance>1447000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1439274.89</valUSD>
                <pctVal>0.032069541371</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>NUTANIX INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="67059N108"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="20.4705" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SERVICENOW INC</name>
                <lei>549300HJTQM36M0E1G39</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>81762PAC6</cusip>
                <identifiers>
                    <isin value="US81762PAC68"/>
                </identifiers>
                <balance>150000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>316448.88</valUSD>
                <pctVal>0.007051030015</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>SERVICENOW INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="81762P102"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="7.421" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>AIRBUS SE</name>
                <lei>MINO79WLOO247M1IL051</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>N0280EAC9</cusip>
                <identifiers>
                    <isin value="XS1434160971"/>
                </identifiers>
                <balance>700000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.121699959"/>
                <valUSD>846035.44</valUSD>
                <pctVal>0.018851137286</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>FR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2021-06-14</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>DASSAULT AVIATION SA</name>
                            <title>ORDINARY SHARES</title>
                            <curCd>EUR</curCd>
                            <identifiers>
<cusip value="F24539102"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="76.6145" curCd="EUR"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ENI SPA</name>
                <lei>BUCRF72VH5RBN7X3VL35</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>T3666JBE5</cusip>
                <identifiers>
                    <isin value="XS1394957309"/>
                </identifiers>
                <balance>200000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.121699959"/>
                <valUSD>230583.37</valUSD>
                <pctVal>0.005137797494</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>IT</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-04-13</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>ENI SPA</name>
                            <title>ORDINARY SHARES</title>
                            <curCd>EUR</curCd>
                            <identifiers>
<cusip value="T3643A145"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="5681.8182" curCd="EUR"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>RAG-STIFTUNG</name>
                <lei>529900C4BQB2G2UM9E04</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>D6254UAB5</cusip>
                <identifiers>
                    <isin value="DE000A14J3R2"/>
                </identifiers>
                <balance>400000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.121699959"/>
                <valUSD>460197.6</valUSD>
                <pctVal>0.010254000868</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>DE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2021-02-18</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>EVONIK INDUSTRIES AG</name>
                            <title>ORDINARY SHARES</title>
                            <curCd>EUR</curCd>
                            <identifiers>
<isin value="DE000EVNK013"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="3047.4333" curCd="EUR"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>IBERDROLA INTERNATIONAL BV</name>
                <lei>549300ZMLFJKWC63XN87</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>N4345BSD9</cusip>
                <identifiers>
                    <isin value="XS1321004118"/>
                </identifiers>
                <balance>300000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.121699959"/>
                <valUSD>390718.38</valUSD>
                <pctVal>0.008705883316</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NL</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-11-11</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>IBERDROLA SA</name>
                            <title>ORDINARY SHARES</title>
                            <curCd>EUR</curCd>
                            <identifiers>
<cusip value="E6164R104"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="11675.8322" curCd="EUR"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>AMERICA MOVIL SAB DE CV</name>
                <lei>5493000FNR3UCEAONM59</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>P0280AFH9</cusip>
                <identifiers>
                    <isin value="XS1238034695"/>
                </identifiers>
                <balance>800000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.121699959"/>
                <valUSD>896301.08</valUSD>
                <pctVal>0.019971142945</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>MX</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-05-28</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>KONINKLIJKE KPN NV</name>
                            <title>ORDINARY SHARES</title>
                            <curCd>EUR</curCd>
                            <identifiers>
<isin value="NL0000009082"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="23357.2123" curCd="EUR"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>VODAFONE GROUP PLC</name>
                <lei>213800TB53ELEUKM7Q61</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>G9T75SQN4</cusip>
                <identifiers>
                    <isin value="XS1325649140"/>
                </identifiers>
                <balance>200000</balance>
                <units>PA</units>
                <currencyConditional curCd="GBP" exchangeRt="1.324599805"/>
                <valUSD>261194.87</valUSD>
                <pctVal>0.005819874819</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-11-26</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>VODAFONE GROUP PLC</name>
                            <title>ORDINARY SHARES</title>
                            <curCd>GBP</curCd>
                            <identifiers>
<isin value="GB00BH4HKS39"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="34947.9276" curCd="GBP"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TELEFONICA PARTICIPACIONES SAU</name>
                <lei>549300SRYJQ5X33NX219</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>E9016TAC8</cusip>
                <identifiers>
                    <isin value="XS1377251423"/>
                </identifiers>
                <balance>400000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.121699959"/>
                <valUSD>447924.9</valUSD>
                <pctVal>0.009980543822</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>ES</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2021-03-09</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>TELEFONICA SA</name>
                            <title>ORDINARY SHARES</title>
                            <curCd>EUR</curCd>
                            <identifiers>
<cusip value="879382109"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="7476.6914" curCd="EUR"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CIE GENERALE DES ETABLISSEMENTS MICHELIN SCA</name>
                <lei>549300SOSI58J6VIW052</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>F6S048JJ9</cusip>
                <identifiers>
                    <isin value="FR0013230745"/>
                </identifiers>
                <balance>400000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>404084</valUSD>
                <pctVal>0.009003692516</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>FR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-01-10</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>CIE GENERALE DES ETABLISSEMENTS MICHELIN SCA</name>
                            <title>ORDINARY SHARES</title>
                            <curCd>EUR</curCd>
                            <identifiers>
<isin value="FR0000121261"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="1420.5219" curCd="EUR"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>STMICROELECTRONICS NV</name>
                <lei>213800Z8NOHIKRI42W10</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>N83574AF5</cusip>
                <identifiers>
                    <isin value="XS1638064953"/>
                </identifiers>
                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>274484</valUSD>
                <pctVal>0.006115979689</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CH</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-07-03</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>STMICROELECTRONICS NV</name>
                            <title>ORDINARY SHARES</title>
                            <curCd>CHF</curCd>
                            <identifiers>
<isin value="NL0000226223"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="9737.0984" curCd="CHF"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>WIX.COM LTD</name>
                <lei>5493008P6N29Q1AG9464</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>92940WAB5</cusip>
                <identifiers>
                    <isin value="US92940WAB54"/>
                </identifiers>
                <balance>1502000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1708525</valUSD>
                <pctVal>0.03806890091</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>IL</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-07-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>WIX.COM LTD</name>
                            <title>ORDINARY SHARES</title>
                            <curCd>ILS</curCd>
                            <identifiers>
<cusip value="M98068105"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="7.0113" curCd="ILS"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ILLUMINA INC</name>
                <lei>SQ95QG8SR5Q56LSNF682</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>452327AK5</cusip>
                <identifiers>
                    <isin value="US452327AK54"/>
                </identifiers>
                <balance>1064000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1172534.95</valUSD>
                <pctVal>0.026126112773</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>ILLUMINA INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="452327109"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="2.1845" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>RINGCENTRAL INC</name>
                <lei>549300C8EH0H1614VE84</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>76680RAD9</cusip>
                <identifiers>
                    <isin value="US76680RAD98"/>
                </identifiers>
                <balance>718000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1505861.51</valUSD>
                <pctVal>0.033553206777</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>RINGCENTRAL INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="76680R206"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="12.2782" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CYBERARK SOFTWARE LTD</name>
                <lei>529900YEXNDM894PWS93</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>23248VAA3</cusip>
                <identifiers>
                    <isin value="US23248VAA35"/>
                </identifiers>
                <balance>1478000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1526284.92</valUSD>
                <pctVal>0.034008275782</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>IL</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>CYBERARK SOFTWARE LTD</name>
                            <title>ORDINARY SHARES</title>
                            <curCd>ILS</curCd>
                            <identifiers>
<cusip value="M2682V108"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="6.3478" curCd="ILS"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PINDUODUO INC</name>
                <lei>5493000573DS7005T657</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>722304AA0</cusip>
                <identifiers>
                    <isin value="US722304AA00"/>
                </identifiers>
                <balance>389000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>446103.52</valUSD>
                <pctVal>0.009939960316</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>PINDUODUO INC</name>
                            <title>COMMON STOCK - ADR</title>
                            <curCd>CNY</curCd>
                            <identifiers>
<isin value="US7223041028"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="23.468" curCd="CNY"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>RH</name>
                <lei>5493008MTS3OGGMHGK69</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>74967XAC7</cusip>
                <identifiers>
                    <isin value="US74967XAC74"/>
                </identifiers>
                <balance>2265000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2685705.46</valUSD>
                <pctVal>0.059842176749</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>RH</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="74967X103"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="4.7304" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711XR63</cusip>
                <identifiers>
                    <isin value="US30711XR630"/>
                </identifiers>
                <balance>2219000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2257958.54</valUSD>
                <pctVal>0.050311233326</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-12-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.342</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>OAKTOWN RE LTD</name>
                <lei>549300CG2B8QR5YHPJ68</lei>
                <title>CORP CMO</title>
                <cusip>67389NAB5</cusip>
                <identifiers>
                    <isin value="US67389NAB55"/>
                </identifiers>
                <balance>2094701.93</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2158839.61</valUSD>
                <pctVal>0.048102691617</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>BM</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-04-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.792</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>OAKTOWN RE II LTD</name>
                <lei>254900KOPN6EP9T3LD85</lei>
                <title>CORP CMO</title>
                <cusip>67400CAB4</cusip>
                <identifiers>
                    <isin value="US67400CAB46"/>
                </identifiers>
                <balance>17300000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>17521647.6</valUSD>
                <pctVal>0.390412704684</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>BM</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-07-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.642</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711XY24</cusip>
                <identifiers>
                    <isin value="US30711XY248"/>
                </identifiers>
                <balance>1398000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1417763.53</valUSD>
                <pctVal>0.031590230952</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-01-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.142</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BELLEMEADE RE 2018-2 LTD</name>
                <lei>2549002JVH34IWRT3X93</lei>
                <title>CORP CMO</title>
                <cusip>07877DAD8</cusip>
                <identifiers>
                    <isin value="US07877DAD84"/>
                </identifiers>
                <balance>730000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>736753.96</valUSD>
                <pctVal>0.016416156333</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>BM</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-08-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.442</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711XJ62</cusip>
                <identifiers>
                    <isin value="US30711XJ629"/>
                </identifiers>
                <balance>500000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>533095</valUSD>
                <pctVal>0.011878281401</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-10-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.542</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711X5R1</cusip>
                <identifiers>
                    <isin value="US30711X5R11"/>
                </identifiers>
                <balance>1094000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1099789.89</valUSD>
                <pctVal>0.02450522664</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-03-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3.892</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MELLO WAREHOUSE SECURITIZATION TRUST 2018-1</name>
                <lei>54930071PMO0D7K08N34</lei>
                <title>CORP CMO</title>
                <cusip>585492AA9</cusip>
                <identifiers>
                    <isin value="US585492AA94"/>
                </identifiers>
                <balance>2216666.68</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2216666.68</valUSD>
                <pctVal>0.049391179053</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2051-11-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>2.642</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>STACR TRUST 2018-DNA2</name>
                <lei>549300L8K4CLYS7FCQ06</lei>
                <title>CORP CMO</title>
                <cusip>35563TAB7</cusip>
                <identifiers>
                    <isin value="US35563TAB70"/>
                </identifiers>
                <balance>464000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>468521.45</valUSD>
                <pctVal>0.010439470686</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-12-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3.942</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>HARBORVIEW MORTGAGE LOAN TRUST 2005-2</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>41161PLQ4</cusip>
                <identifiers>
                    <isin value="US41161PLQ45"/>
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                <balance>20545728.53</balance>
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                <curCd>USD</curCd>
                <valUSD>12499990.42</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2035-05-19</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711XY32</cusip>
                <identifiers>
                    <isin value="US30711XY321"/>
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                <balance>425000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>463261.52</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-01-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>6.042</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>FREDDIE MAC STACR TRUST 2019-DNA1</name>
                <lei>5493007222WHFWMBOC78</lei>
                <title>CORP CMO</title>
                <cusip>35563KAH3</cusip>
                <identifiers>
                    <isin value="US35563KAH32"/>
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                <balance>2724000</balance>
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                <curCd>USD</curCd>
                <valUSD>2770092.53</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-01-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.442</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>CONNECTICUT AVENUE SECURITIES TRUST 2019-R01</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>20754FAK8</cusip>
                <identifiers>
                    <isin value="US20754FAK84"/>
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                <balance>800000</balance>
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                <curCd>USD</curCd>
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                <assetCat>ABS-CBDO</assetCat>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-07-25</maturityDt>
                    <couponKind>Floating</couponKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711XYW8</cusip>
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                    <isin value="US30711XYW81"/>
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                <balance>7218000</balance>
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                <curCd>USD</curCd>
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                <assetCat>ABS-CBDO</assetCat>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-07-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.342</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711XC44</cusip>
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                    <isin value="US30711XC442"/>
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                <balance>2208000</balance>
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                <curCd>USD</curCd>
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                <assetCat>ABS-CBDO</assetCat>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-08-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.792</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711XC36</cusip>
                <identifiers>
                    <isin value="US30711XC368"/>
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                <balance>2307448.16</balance>
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                <curCd>USD</curCd>
                <valUSD>2323461.85</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-08-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3.992</annualizedRt>
                    <isDefault>N</isDefault>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>RADNOR RE 2018-1 LTD</name>
                <lei>549300ED4YNDE7SVU538</lei>
                <title>CORP CMO</title>
                <cusip>750496AB7</cusip>
                <identifiers>
                    <isin value="US750496AB73"/>
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                <balance>6240000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>6297183.36</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>BM</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-03-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.492</annualizedRt>
                    <isDefault>N</isDefault>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>3137G0UD9</cusip>
                <identifiers>
                    <isin value="US3137G0UD91"/>
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                <balance>2727000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2757715.56</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-09-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.092</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711XYX6</cusip>
                <identifiers>
                    <isin value="US30711XYX64"/>
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                <balance>82000</balance>
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                <curCd>USD</curCd>
                <valUSD>83082.5</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-07-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.042</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR14 TRUST</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>92922F4B1</cusip>
                <identifiers>
                    <isin value="US92922F4B15"/>
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                <balance>6345297.01</balance>
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                <curCd>USD</curCd>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2035-12-25</maturityDt>
                    <couponKind>Variable</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711XUW2</cusip>
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                    <isin value="US30711XUW28"/>
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                <balance>1626000</balance>
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                <curCd>USD</curCd>
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                <assetCat>ABS-CBDO</assetCat>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-05-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.792</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>3137G0UB3</cusip>
                <identifiers>
                    <isin value="US3137G0UB36"/>
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                <balance>1547000</balance>
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                <curCd>USD</curCd>
                <valUSD>1552236.29</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-07-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.942</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>BELLEMEADE RE 2019-4 LTD</name>
                <lei>254900KXN235YISGF415</lei>
                <title>CORP CMO</title>
                <cusip>07876LAE9</cusip>
                <identifiers>
                    <isin value="US07876LAE92"/>
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                <balance>3034000</balance>
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                <curCd>USD</curCd>
                <valUSD>3037136.85</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>BM</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-10-25</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>FREDDIE MAC STACR TRUST 2019-DNA2</name>
                <lei>549300Y6KOVOWQ8OJC33</lei>
                <title>CORP CMO</title>
                <cusip>35564LBE6</cusip>
                <identifiers>
                    <isin value="US35564LBE65"/>
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                <balance>1629000</balance>
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                <curCd>USD</curCd>
                <valUSD>2111943.6</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-03-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>12.292</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>STACR TRUST 2018-DNA3</name>
                <lei>549300BL200YC56BUV20</lei>
                <title>CORP CMO</title>
                <cusip>35563WBE3</cusip>
                <identifiers>
                    <isin value="US35563WBE30"/>
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                <balance>2911000</balance>
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                <curCd>USD</curCd>
                <valUSD>3177758.22</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2048-09-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>9.542</annualizedRt>
                    <isDefault>N</isDefault>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>FREDDIE MAC STACR TRUST 2018-HQA2</name>
                <lei>5493005RUXPCBST1N217</lei>
                <title>CORP CMO</title>
                <cusip>35563XBE1</cusip>
                <identifiers>
                    <isin value="US35563XBE13"/>
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                <balance>2435000</balance>
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                <curCd>USD</curCd>
                <valUSD>3179423.57</valUSD>
                <pctVal>0.070843072731</pctVal>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2048-10-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>12.792</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>FREDDIE MAC STACR TRUST 2019-HQA1</name>
                <lei>54930047IR7X5WWFY307</lei>
                <title>CORP CMO</title>
                <cusip>35563MBE5</cusip>
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                    <isin value="US35563MBE57"/>
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                <balance>570000</balance>
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                <curCd>USD</curCd>
                <valUSD>756144.33</valUSD>
                <pctVal>0.016848207414</pctVal>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-02-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>14.042</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711XDY7</cusip>
                <identifiers>
                    <isin value="US30711XDY76"/>
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                <balance>2713287.69</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3498328.64</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-04-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>11.042</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>NATIONSTAR HECM LOAN TRUST 2019-2</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>63862UAE8</cusip>
                <identifiers>
                    <isin value="US63862UAE82"/>
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                <balance>9376000</balance>
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                <curCd>USD</curCd>
                <valUSD>9349531.56</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-11-26</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>5.682</annualizedRt>
                    <isDefault>N</isDefault>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CONNECTICUT AVENUE SECURITIES TRUST 2019-HRP1</name>
                <lei>549300Z5THZ1JXIHVK60</lei>
                <title>CORP CMO</title>
                <cusip>20754PAD2</cusip>
                <identifiers>
                    <isin value="US20754PAD24"/>
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                <balance>8200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>8691499.8</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2039-11-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>10.958</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>CONNECTICUT AVENUE SECURITIES TRUST 2019-R06</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>20754JAC8</cusip>
                <identifiers>
                    <isin value="US20754JAC80"/>
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                <balance>4084000</balance>
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                <curCd>USD</curCd>
                <valUSD>4165181.75</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2039-09-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.542</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711X5V2</cusip>
                <identifiers>
                    <isin value="US30711X5V23"/>
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                <balance>1624000</balance>
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                <curCd>USD</curCd>
                <valUSD>1748673.83</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-03-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.892</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>FREDDIE MAC STACR TRUST 2019-DNA1</name>
                <lei>5493007222WHFWMBOC78</lei>
                <title>CORP CMO</title>
                <cusip>35563KBE9</cusip>
                <identifiers>
                    <isin value="US35563KBE91"/>
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                <balance>2342000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3075630.32</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-01-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>12.542</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>OAKTOWN RE III LTD</name>
                <lei>2549008N2FD0KB1Y5E03</lei>
                <title>CORP CMO</title>
                <cusip>67400KAD2</cusip>
                <identifiers>
                    <isin value="US67400KAD28"/>
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                <balance>317000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>323803.8</valUSD>
                <pctVal>0.007214910391</pctVal>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>BM</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-07-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.292</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>OAKTOWN RE III LTD</name>
                <lei>2549008N2FD0KB1Y5E03</lei>
                <title>CORP CMO</title>
                <cusip>67400KAE0</cusip>
                <identifiers>
                    <isin value="US67400KAE01"/>
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                <balance>383000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>382506.93</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>BM</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-07-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>6.142</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>STATION PLACE SECURITIZATION TRUST SERIES 2019-WL1</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>85769FAA6</cusip>
                <identifiers>
                    <isin value="US85769FAA66"/>
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                <balance>5642000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>5642000</valUSD>
                <pctVal>0.125713547613</pctVal>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2052-08-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>2.442</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711XWW0</cusip>
                <identifiers>
                    <isin value="US30711XWW00"/>
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                <balance>731000</balance>
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                <curCd>USD</curCd>
                <valUSD>797269.83</valUSD>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-05-25</maturityDt>
                    <couponKind>Floating</couponKind>
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            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711XR30</cusip>
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                    <isin value="US30711XR309"/>
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                <valUSD>426226.19</valUSD>
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                <debtSec>
                    <maturityDt>2030-12-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>6.292</annualizedRt>
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            <invstOrSec>
                <name>FREDDIE MAC STACR TRUST 2018-HQA2</name>
                <lei>5493005RUXPCBST1N217</lei>
                <title>CORP CMO</title>
                <cusip>35563XAH5</cusip>
                <identifiers>
                    <isin value="US35563XAH52"/>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2048-10-25</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>HOME RE 2019-1 LTD</name>
                <lei>254900GFKVQN72ENGJ20</lei>
                <title>CORP CMO</title>
                <cusip>43731AAB9</cusip>
                <identifiers>
                    <isin value="US43731AAB98"/>
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                <balance>2000000</balance>
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                <curCd>USD</curCd>
                <valUSD>2024000</valUSD>
                <pctVal>0.045098231189</pctVal>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>BM</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-05-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.042</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>STATION PLACE SECURITIZATION TRUST SERIES 2019-11</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>85771JAA4</cusip>
                <identifiers>
                    <isin value="US85771JAA43"/>
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                <balance>9346000</balance>
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                <curCd>USD</curCd>
                <valUSD>9346000</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-10-24</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>FREDDIE MAC STACR 2019-HQA3</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>35564XBD2</cusip>
                <identifiers>
                    <isin value="US35564XBD21"/>
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                <balance>1010000</balance>
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                <curCd>USD</curCd>
                <valUSD>1023331.8</valUSD>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-09-25</maturityDt>
                    <couponKind>Floating</couponKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711X3M4</cusip>
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                    <isin value="US30711X3M42"/>
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                <balance>1245000</balance>
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                <curCd>USD</curCd>
                <valUSD>1314424.69</valUSD>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-03-25</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>FREDDIE MAC STACR TRUST 2019-HQA1</name>
                <lei>54930047IR7X5WWFY307</lei>
                <title>CORP CMO</title>
                <cusip>35563MAH9</cusip>
                <identifiers>
                    <isin value="US35563MAH97"/>
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                <balance>501000</balance>
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                <curCd>USD</curCd>
                <valUSD>505997.87</valUSD>
                <pctVal>0.011274510337</pctVal>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-02-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.142</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CONNECTICUT AVENUE SECURITIES TRUST 2019-R02</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>20753KAB8</cusip>
                <identifiers>
                    <isin value="US20753KAB89"/>
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                <balance>140000</balance>
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                <curCd>USD</curCd>
                <valUSD>140958.17</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-08-25</maturityDt>
                    <couponKind>Floating</couponKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY RE-REMIC TRUST 2010-R4</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>61759FAU5</cusip>
                <identifiers>
                    <isin value="US61759FAU57"/>
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                <balance>239984.48</balance>
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                <curCd>USD</curCd>
                <valUSD>214665.42</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2037-02-26</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>3.027</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FREDDIE MAC STACR TRUST 2019-DNA2</name>
                <lei>549300Y6KOVOWQ8OJC33</lei>
                <title>CORP CMO</title>
                <cusip>35564LAH0</cusip>
                <identifiers>
                    <isin value="US35564LAH06"/>
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                <balance>2546007.91</balance>
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                <curCd>USD</curCd>
                <valUSD>2572147.77</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-03-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.242</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FREDDIE MAC STACR TRUST 2019-DNA2</name>
                <lei>549300Y6KOVOWQ8OJC33</lei>
                <title>CORP CMO</title>
                <cusip>35564LBD8</cusip>
                <identifiers>
                    <isin value="US35564LBD82"/>
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                <balance>880000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>942878.38</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-03-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>6.142</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>STATION PLACE SECURITIZATION TRUST SERIES 2019-3</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>85775BAA7</cusip>
                <identifiers>
                    <isin value="US85775BAA70"/>
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                <balance>20210000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>20210000</valUSD>
                <pctVal>0.450313859848</pctVal>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-06-24</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>2.48</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MELLO WAREHOUSE SECURITIZATION TRUST 2019-1</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>585503AA3</cusip>
                <identifiers>
                    <isin value="US585503AA34"/>
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                <balance>2676000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2676000</valUSD>
                <pctVal>0.059625922264</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2052-06-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>2.592</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-2</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>35563PKR9</cusip>
                <identifiers>
                    <isin value="US35563PKR90"/>
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                <balance>5008000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>5168109.77</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2058-08-25</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES 2006-AR4</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>25150PAB5</cusip>
                <identifiers>
                    <isin value="US25150PAB58"/>
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                <balance>10378734.53</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>6147718.86</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2036-12-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>1.982</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGAN ALTERNATIVE LOAN TRUST 2007-A2</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>466278AC2</cusip>
                <identifiers>
                    <isin value="US466278AC20"/>
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                <balance>5227878.68</balance>
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                <curCd>USD</curCd>
                <valUSD>2996567.78</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2037-06-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>1.992</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>ALTERNATIVE LOAN TRUST 2006-OA10</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>02146QAC7</cusip>
                <identifiers>
                    <isin value="US02146QAC78"/>
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                <balance>5976731.11</balance>
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                <curCd>USD</curCd>
                <valUSD>5498592.62</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-08-25</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>ALTERNATIVE LOAN TRUST 2005-38</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>12667GZ30</cusip>
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                    <isin value="US12667GZ303"/>
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                <balance>9646515.59</balance>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2035-09-25</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>ALTERNATIVE LOAN TRUST 2006-OA10</name>
                <lei>N/A</lei>
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                <cusip>02146QAD5</cusip>
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                    <isin value="US02146QAD51"/>
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                    <maturityDt>2046-08-25</maturityDt>
                    <couponKind>Floating</couponKind>
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            <invstOrSec>
                <name>ALTERNATIVE LOAN TRUST 2006-OA10</name>
                <lei>N/A</lei>
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                    <isin value="US02146QAA13"/>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-08-25</maturityDt>
                    <couponKind>Floating</couponKind>
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            <invstOrSec>
                <name>ALTERNATIVE LOAN TRUST 2005-59</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>12668AEV3</cusip>
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                    <isin value="US12668AEV35"/>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2035-11-20</maturityDt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR13 TRUST</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>92922F4V7</cusip>
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                    <isin value="US92922F4V78"/>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2045-10-25</maturityDt>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR19 TRUST</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>92925CBJ0</cusip>
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                    <isin value="US92925CBJ09"/>
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                <curCd>USD</curCd>
                <valUSD>2199671.95</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2045-12-25</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>BEAR STEARNS ALT-A TRUST 2005-8</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>07386HWZ0</cusip>
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                    <isin value="US07386HWZ09"/>
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                <balance>102777.02</balance>
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                <curCd>USD</curCd>
                <valUSD>94951.31</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2035-10-25</maturityDt>
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                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711XEQ3</cusip>
                <identifiers>
                    <isin value="US30711XEQ34"/>
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                <balance>4310000</balance>
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                <curCd>USD</curCd>
                <valUSD>5113676.65</valUSD>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-07-25</maturityDt>
                    <couponKind>Floating</couponKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>3137G0MX4</cusip>
                <identifiers>
                    <isin value="US3137G0MX48"/>
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                <balance>3062000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3474109.68</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-07-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>6.742</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>3137G0NE5</cusip>
                <identifiers>
                    <isin value="US3137G0NE57"/>
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                <balance>1528000</balance>
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                <curCd>USD</curCd>
                <valUSD>1597570.3</valUSD>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-08-25</maturityDt>
                    <couponKind>Floating</couponKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711XGP3</cusip>
                <identifiers>
                    <isin value="US30711XGP33"/>
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                <balance>1640000</balance>
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                <curCd>USD</curCd>
                <valUSD>1722318.49</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-09-25</maturityDt>
                    <couponKind>Floating</couponKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-1</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>026932AC7</cusip>
                <identifiers>
                    <isin value="US026932AC79"/>
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                <balance>9383450.86</balance>
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                <curCd>USD</curCd>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2047-05-25</maturityDt>
                    <couponKind>Floating</couponKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711XGQ1</cusip>
                <identifiers>
                    <isin value="US30711XGQ16"/>
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                <balance>18272300</balance>
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                <curCd>USD</curCd>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-09-25</maturityDt>
                    <couponKind>Floating</couponKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>3137G0FZ7</cusip>
                <identifiers>
                    <isin value="US3137G0FZ78"/>
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                <balance>11200708.14</balance>
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                <curCd>USD</curCd>
                <valUSD>13427972.32</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-12-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>9.342</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711XBB9</cusip>
                <identifiers>
                    <isin value="US30711XBB91"/>
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                <balance>10975730.08</balance>
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                <curCd>USD</curCd>
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                <assetCat>ABS-CBDO</assetCat>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-07-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>6.792</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>ALTERNATIVE LOAN TRUST 2006-OA7</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>02146BAB2</cusip>
                <identifiers>
                    <isin value="US02146BAB27"/>
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                <balance>9455376.65</balance>
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                <curCd>USD</curCd>
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                <assetCat>ABS-CBDO</assetCat>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-06-25</maturityDt>
                    <couponKind>Floating</couponKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711XBF0</cusip>
                <identifiers>
                    <isin value="US30711XBF06"/>
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                <balance>21310454.51</balance>
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                <curCd>USD</curCd>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-04-25</maturityDt>
                    <couponKind>Floating</couponKind>
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            <invstOrSec>
                <name>FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES</name>
                <lei>N/A</lei>
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                    <isin value="US3137G0GZ69"/>
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                    <maturityDt>2028-04-25</maturityDt>
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            <invstOrSec>
                <name>FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES</name>
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                    <isin value="US3137G0HM48"/>
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                    <maturityDt>2028-05-25</maturityDt>
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            <invstOrSec>
                <name>FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES</name>
                <lei>N/A</lei>
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                    <isin value="US3137G0HZ50"/>
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                <name>ALTERNATIVE LOAN TRUST 2006-OA7</name>
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                    <isin value="US02146BAA44"/>
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                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
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            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
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            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
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                    <isin value="US30711XCH52"/>
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                <debtSec>
                    <maturityDt>2028-09-25</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711XCR3</cusip>
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                    <isin value="US30711XCR35"/>
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                <balance>7721423.48</balance>
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                <curCd>USD</curCd>
                <valUSD>10963065.45</valUSD>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2028-10-25</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711XCT9</cusip>
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                    <isin value="US30711XCT90"/>
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                <balance>6394211.91</balance>
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                <curCd>USD</curCd>
                <valUSD>6899083.54</valUSD>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-10-25</maturityDt>
                    <couponKind>Floating</couponKind>
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            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711XCL6</cusip>
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                    <isin value="US30711XCL64"/>
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                <balance>2494000</balance>
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                <curCd>USD</curCd>
                <valUSD>2695362.81</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-10-25</maturityDt>
                    <couponKind>Floating</couponKind>
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            </invstOrSec>
            <invstOrSec>
                <name>WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR10 TRUST</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>92922FW46</cusip>
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                    <isin value="US92922FW460"/>
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                <balance>4620747.52</balance>
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                <curCd>USD</curCd>
                <valUSD>4630100.37</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2035-09-25</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.141</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>3137G0KE8</cusip>
                <identifiers>
                    <isin value="US3137G0KE84"/>
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                <balance>2950000</balance>
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                <curCd>USD</curCd>
                <valUSD>3221747.81</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-11-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>6.942</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711XDB7</cusip>
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                    <isin value="US30711XDB73"/>
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                <balance>996066.52</balance>
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                <curCd>USD</curCd>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-01-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>12.042</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711XDN1</cusip>
                <identifiers>
                    <isin value="US30711XDN12"/>
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                <balance>444900.04</balance>
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                <curCd>USD</curCd>
                <valUSD>593203.86</valUSD>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-01-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>12.542</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711XDK7</cusip>
                <identifiers>
                    <isin value="US30711XDK72"/>
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                <balance>605838.92</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>639772.74</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-01-25</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>3137G0LA5</cusip>
                <identifiers>
                    <isin value="US3137G0LA53"/>
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                <balance>3145000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3350609.1</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-03-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.642</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711XAV6</cusip>
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                    <isin value="US30711XAV64"/>
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                <balance>2548297.38</balance>
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                <curCd>USD</curCd>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-02-25</maturityDt>
                    <couponKind>Floating</couponKind>
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                <name>FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES</name>
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                    <isin value="US3137G0EJ46"/>
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                    <maturityDt>2025-03-25</maturityDt>
                    <couponKind>Floating</couponKind>
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                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
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                    <isin value="US30711XAT19"/>
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                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
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                    <isin value="US30711XAX21"/>
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                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
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                    <isin value="US30711XAZ78"/>
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            <invstOrSec>
                <name>BCAP LLC 2011-RR3 TRUST</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
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                    <isin value="US05533WAU80"/>
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                <issuerCat>CORP</issuerCat>
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                <debtSec>
                    <maturityDt>2036-11-27</maturityDt>
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            <invstOrSec>
                <name>STACR TRUST 2018-DNA2</name>
                <lei>549300L8K4CLYS7FCQ06</lei>
                <title>CORP CMO</title>
                <cusip>35563TAV3</cusip>
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                    <isin value="US35563TAV35"/>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-12-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.492</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>ALTERNATIVE LOAN TRUST 2006-OA10</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>02146QAB9</cusip>
                <identifiers>
                    <isin value="US02146QAB95"/>
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                <balance>3679096.85</balance>
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                <valUSD>3458351.04</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-08-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>1.982</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CHEVY CHASE FUNDING LLC MORTGAGE-BACKED CERTIFICATES SERIES 2006-4</name>
                <lei>5493000OPBL8EFF3O717</lei>
                <title>CORP CMO</title>
                <cusip>16678XAB0</cusip>
                <identifiers>
                    <isin value="US16678XAB01"/>
                </identifiers>
                <balance>3881127.56</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3352707.77</valUSD>
                <pctVal>0.074704145317</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2047-11-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>1.972</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711XQX5</cusip>
                <identifiers>
                    <isin value="US30711XQX56"/>
                </identifiers>
                <balance>2578000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2640740.79</valUSD>
                <pctVal>0.058840285898</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-02-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.442</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BELLEMEADE RE 2017-1 LTD</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>078767AC4</cusip>
                <identifiers>
                    <isin value="US078767AC47"/>
                </identifiers>
                <balance>2376000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2494058.69</valUSD>
                <pctVal>0.055571954249</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>BM</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-10-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>6.542</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711XSW5</cusip>
                <identifiers>
                    <isin value="US30711XSW55"/>
                </identifiers>
                <balance>3018000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3280668.61</valUSD>
                <pctVal>0.07309898786</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-02-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>6.242</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ALTERNATIVE LOAN TRUST 2006-45T1</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>02149JAW6</cusip>
                <identifiers>
                    <isin value="US02149JAW62"/>
                </identifiers>
                <balance>5151673</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2607941.21</valUSD>
                <pctVal>0.058109454356</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2037-02-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>2.132</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GSR MORTGAGE LOAN TRUST 2007-OA1</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>3622NAAE0</cusip>
                <identifiers>
                    <isin value="US3622NAAE07"/>
                </identifiers>
                <balance>6850623.21</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4964887.1</valUSD>
                <pctVal>0.110626297561</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2037-05-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>2.102</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>WELLS FARGO MORTGAGE BACKED SECURITIES 2006-AR5 TRUST</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>94983RAA2</cusip>
                <identifiers>
                    <isin value="US94983RAA23"/>
                </identifiers>
                <balance>2835284.8</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2920343.34</valUSD>
                <pctVal>0.065070315761</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2036-04-25</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>5.172</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>3137G0RJ0</cusip>
                <identifiers>
                    <isin value="US3137G0RJ09"/>
                </identifiers>
                <balance>1590000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1744869.18</valUSD>
                <pctVal>0.03887871229</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-03-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>6.242</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>3137G0PR4</cusip>
                <identifiers>
                    <isin value="US3137G0PR43"/>
                </identifiers>
                <balance>5310000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>6124079.29</valUSD>
                <pctVal>0.136455110494</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-10-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>6.942</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BEAR STEARNS MORTGAGE FUNDING TRUST 2006-AR2</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>07401AAX5</cusip>
                <identifiers>
                    <isin value="US07401AAX54"/>
                </identifiers>
                <balance>5629868.43</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>5759603.11</valUSD>
                <pctVal>0.128333948919</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-09-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>2.022</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711XJW5</cusip>
                <identifiers>
                    <isin value="US30711XJW56"/>
                </identifiers>
                <balance>5517000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>6231720.73</valUSD>
                <pctVal>0.138853548512</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-10-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>6.642</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BEAR STEARNS ALT-A TRUST 2005-7</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>07386HVR9</cusip>
                <identifiers>
                    <isin value="US07386HVR91"/>
                </identifiers>
                <balance>2644949.74</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2483863.83</valUSD>
                <pctVal>0.055344795083</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2035-09-25</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.339</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711XNW0</cusip>
                <identifiers>
                    <isin value="US30711XNW01"/>
                </identifiers>
                <balance>3517000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3711650.48</valUSD>
                <pctVal>0.082702011581</pctVal>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-01-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.392</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711XSX3</cusip>
                <identifiers>
                    <isin value="US30711XSX39"/>
                </identifiers>
                <balance>5216371.71</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>5356378.6</valUSD>
                <pctVal>0.119349407331</pctVal>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-02-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.592</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>3137G0DF3</cusip>
                <identifiers>
                    <isin value="US3137G0DF33"/>
                </identifiers>
                <balance>735822.58</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>777378.16</valUSD>
                <pctVal>0.017321333983</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-10-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>6.542</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711XEC4</cusip>
                <identifiers>
                    <isin value="US30711XEC48"/>
                </identifiers>
                <balance>3220743.77</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3386519.64</valUSD>
                <pctVal>0.075457532437</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-05-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>6.142</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2006-AR7</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>86361HAA2</cusip>
                <identifiers>
                    <isin value="US86361HAA23"/>
                </identifiers>
                <balance>11463138.08</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>10546087.03</valUSD>
                <pctVal>0.23498511414</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2036-08-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>2.002</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FREDDIE MAC STACR TRUST 2018-HQA2</name>
                <lei>5493005RUXPCBST1N217</lei>
                <title>CORP CMO</title>
                <cusip>35563XBD3</cusip>
                <identifiers>
                    <isin value="US35563XBD30"/>
                </identifiers>
                <balance>1753000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1896462.01</valUSD>
                <pctVal>0.042256463522</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2048-10-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>6.042</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>30711XWX8</cusip>
                <identifiers>
                    <isin value="US30711XWX82"/>
                </identifiers>
                <balance>1725832.46</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1748539.24</valUSD>
                <pctVal>0.038960487593</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-05-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.292</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>STATION PLACE SECURITIZATION TRUST SERIES 2019-7</name>
                <lei>549300Y9YWFN48BR1Z33</lei>
                <title>CORP CMO</title>
                <cusip>85775CAA5</cusip>
                <identifiers>
                    <isin value="US85775CAA53"/>
                </identifiers>
                <balance>20147000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>20147000</valUSD>
                <pctVal>0.448910110557</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-09-24</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>2.48</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MOOG INC</name>
                <lei>549300WM2I4U7OBAHG07</lei>
                <title>CORP. NOTE</title>
                <cusip>615394AM5</cusip>
                <identifiers>
                    <isin value="US615394AM52"/>
                </identifiers>
                <balance>785000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>798816</valUSD>
                <pctVal>0.017799006248</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ISTAR INC</name>
                <lei>QFFLKWYYS3UPWD86E794</lei>
                <title>CORP. NOTE</title>
                <cusip>45031UCG4</cusip>
                <identifiers>
                    <isin value="US45031UCG40"/>
                </identifiers>
                <balance>2671000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2700274.16</valUSD>
                <pctVal>0.060166792659</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>451102BX4</cusip>
                <identifiers>
                    <isin value="US451102BX44"/>
                </identifiers>
                <balance>1155000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1181137.65</valUSD>
                <pctVal>0.026317795853</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CREDIT ACCEPTANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>225310AN1</cusip>
                <identifiers>
                    <isin value="US225310AN19"/>
                </identifiers>
                <balance>965000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1002113.9</valUSD>
                <pctVal>0.022328836136</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-12-31</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GFL ENVIRONMENTAL INC</name>
                <lei>549300FYK4MBXWIVZU26</lei>
                <title>CORP. NOTE</title>
                <cusip>36168QAF1</cusip>
                <identifiers>
                    <isin value="US36168QAF19"/>
                </identifiers>
                <balance>1925000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2023906.5</valUSD>
                <pctVal>0.045096147847</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CALPINE CORP</name>
                <lei>43R4VPJBXTU2O15HEF41</lei>
                <title>CORP. NOTE</title>
                <cusip>131347CM6</cusip>
                <identifiers>
                    <isin value="US131347CM64"/>
                </identifiers>
                <balance>2900000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2925723</valUSD>
                <pctVal>0.065190183917</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HESS MIDSTREAM OPERATIONS LP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>428102AC1</cusip>
                <identifiers>
                    <isin value="US428102AC14"/>
                </identifiers>
                <balance>3407000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3546295.2</valUSD>
                <pctVal>0.079017609088</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BAUSCH HEALTH COS INC</name>
                <lei>B3BS7ACMDUWISF18KY76</lei>
                <title>CORP. NOTE</title>
                <cusip>071734AH0</cusip>
                <identifiers>
                    <isin value="US071734AH05"/>
                </identifiers>
                <balance>775000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>795452.25</valUSD>
                <pctVal>0.017724056063</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-01-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>OCI NV</name>
                <lei>549300NCMRGIBJYUOE57</lei>
                <title>CORP. NOTE</title>
                <cusip>67091GAC7</cusip>
                <identifiers>
                    <isin value="US67091GAC78"/>
                </identifiers>
                <balance>755000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>783312.5</valUSD>
                <pctVal>0.017453561373</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NL</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>AMERICAN BUILDERS  AND  CONTRACTORS SUPPLY CO INC</name>
                <lei>549300H5GQ4C1BEKG397</lei>
                <title>CORP. NOTE</title>
                <cusip>024747AF4</cusip>
                <identifiers>
                    <isin value="US024747AF43"/>
                </identifiers>
                <balance>960000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>974400</valUSD>
                <pctVal>0.021711322367</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ASHTEAD CAPITAL INC</name>
                <lei>213800J1134IW58IC398</lei>
                <title>CORP. NOTE</title>
                <cusip>045054AL7</cusip>
                <identifiers>
                    <isin value="US045054AL70"/>
                </identifiers>
                <balance>1345000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1373581.25</valUSD>
                <pctVal>0.030605773108</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TRANSDIGM INC</name>
                <lei>88Q84GB3X55CF5OC7582</lei>
                <title>CORP. NOTE</title>
                <cusip>893647BJ5</cusip>
                <identifiers>
                    <isin value="US893647BJ54"/>
                </identifiers>
                <balance>2930000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2962903.9</valUSD>
                <pctVal>0.06601863887</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ALBERTSONS COS INC / SAFEWAY INC / NEW ALBERTSONS LP / ALBERTSONS LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>013092AC5</cusip>
                <identifiers>
                    <isin value="US013092AC57"/>
                </identifiers>
                <balance>3655000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3650614</valUSD>
                <pctVal>0.081342012922</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CEMEX SAB DE CV</name>
                <lei>549300RIG2CXWN6IV731</lei>
                <title>CORP. NOTE</title>
                <cusip>151290BV4</cusip>
                <identifiers>
                    <isin value="US151290BV44"/>
                </identifiers>
                <balance>1330000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1389850</valUSD>
                <pctVal>0.03096826908</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>MX</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-11-19</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.45</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOEASY LTD</name>
                <lei>5493009DJVZG2P8YV435</lei>
                <title>CORP. NOTE</title>
                <cusip>380355AD9</cusip>
                <identifiers>
                    <isin value="US380355AD93"/>
                </identifiers>
                <balance>1925000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1960285.25</valUSD>
                <pctVal>0.043678556028</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-12-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>1011778 BC ULC / NEW RED FINANCE INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>68245XAJ8</cusip>
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                    <isin value="US68245XAJ81"/>
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                <balance>1351000</balance>
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                <curCd>USD</curCd>
                <valUSD>1354377.5</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>UNIVAR SOLUTIONS USA INC/WASHINGTON</name>
                <lei>5493008FTB9VZW6CVA82</lei>
                <title>CORP. NOTE</title>
                <cusip>91337CAA4</cusip>
                <identifiers>
                    <isin value="US91337CAA45"/>
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                <balance>3380000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3527976.4</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-12-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.125</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>PRESTIGE BRANDS INC</name>
                <lei>549300JBVP4J6D42I235</lei>
                <title>CORP. NOTE</title>
                <cusip>74112BAL9</cusip>
                <identifiers>
                    <isin value="US74112BAL99"/>
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                <balance>390000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>408525</valUSD>
                <pctVal>0.0091026457</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.125</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>STEARNS HOLDINGS LLC</name>
                <lei>549300B7MV13XJXKBZ36</lei>
                <title>CORP. NOTE</title>
                <cusip>858ESCAA4</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2327875"/>
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                <balance>1010000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>121200</valUSD>
                <pctVal>0.002700546255</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>9.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>STEARNS HOLDINGS LLC / STEARNS CO-ISSUER INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>85801HAA2</cusip>
                <identifiers>
                    <isin value="US85801HAA23"/>
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                <balance>26227</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>20981.6</valUSD>
                <pctVal>0.000467506446</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-11-05</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>MATTEL INC</name>
                <lei>549300VELLG24KHTJ564</lei>
                <title>CORP. NOTE</title>
                <cusip>577081BD3</cusip>
                <identifiers>
                    <isin value="US577081BD37"/>
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                <balance>1725000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1817718.75</valUSD>
                <pctVal>0.040501927087</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>BOYD GAMING CORP</name>
                <lei>254900787YGRYS2A1Z35</lei>
                <title>CORP. NOTE</title>
                <cusip>103304BR1</cusip>
                <identifiers>
                    <isin value="US103304BR11"/>
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                <balance>965000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1002393.75</valUSD>
                <pctVal>0.02233507168</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-12-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV</name>
                <lei>5493004T21MOAFINJP35</lei>
                <title>CORP. NOTE</title>
                <cusip>88167AAM3</cusip>
                <identifiers>
                    <isin value="US88167AAM36"/>
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                <balance>795000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>816624</valUSD>
                <pctVal>0.018195799381</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NL</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-01-31</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>ALLEGHENY TECHNOLOGIES INC</name>
                <lei>ZW1LRE7C3H17O2ZN9B45</lei>
                <title>CORP. NOTE</title>
                <cusip>01741RAH5</cusip>
                <identifiers>
                    <isin value="US01741RAH57"/>
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                <balance>190000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>199500</valUSD>
                <pctVal>0.004445206088</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-12-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>MATTAMY GROUP CORP</name>
                <lei>5493008TNY7A82WCXU31</lei>
                <title>CORP. NOTE</title>
                <cusip>57701RAJ1</cusip>
                <identifiers>
                    <isin value="US57701RAJ14"/>
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                <balance>2880000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2995200</valUSD>
                <pctVal>0.066738252005</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>COMPASS MINERALS INTERNATIONAL INC</name>
                <lei>2549008X9G8XP7YJGC47</lei>
                <title>CORP. NOTE</title>
                <cusip>20451NAG6</cusip>
                <identifiers>
                    <isin value="US20451NAG60"/>
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                <balance>2915000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3097187.5</valUSD>
                <pctVal>0.06901071043</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-12-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HESS MIDSTREAM OPERATIONS LP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>428104AA1</cusip>
                <identifiers>
                    <isin value="US428104AA14"/>
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                <balance>984000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>996300</valUSD>
                <pctVal>0.022199292358</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>LIVE NATION ENTERTAINMENT INC</name>
                <lei>5493007B9BM9ZXJINO78</lei>
                <title>CORP. NOTE</title>
                <cusip>538034AR0</cusip>
                <identifiers>
                    <isin value="US538034AR08"/>
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                <balance>575000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>595125</valUSD>
                <pctVal>0.013260417409</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>ALLIANT HOLDINGS INTERMEDIATE LLC / ALLIANT HOLDINGS CO-ISSUER</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>01883LAA1</cusip>
                <identifiers>
                    <isin value="US01883LAA17"/>
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                <balance>1490000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1595715.5</valUSD>
                <pctVal>0.035555309551</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.75</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>SCOTTS MIRACLE-GRO CO/THE</name>
                <lei>2TH9E0JTOUXOEGI2R879</lei>
                <title>CORP. NOTE</title>
                <cusip>810186AS5</cusip>
                <identifiers>
                    <isin value="US810186AS55"/>
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                <balance>4298000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4393415.6</valUSD>
                <pctVal>0.097892921166</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>VIPER ENERGY PARTNERS LP</name>
                <lei>5299009LINL232255G03</lei>
                <title>CORP. NOTE</title>
                <cusip>92763MAA3</cusip>
                <identifiers>
                    <isin value="US92763MAA36"/>
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                <balance>580000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>603200</valUSD>
                <pctVal>0.013440342418</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>DIAMOND SPORTS GROUP LLC / DIAMOND SPORTS FINANCE CO</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>25277LAC0</cusip>
                <identifiers>
                    <isin value="US25277LAC00"/>
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                <balance>4111000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3997947.5</valUSD>
                <pctVal>0.089081205848</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TAYLOR MORRISON COMMUNITIES INC</name>
                <lei>549300O1Z08HI2MRK572</lei>
                <title>CORP. NOTE</title>
                <cusip>87724RAB8</cusip>
                <identifiers>
                    <isin value="US87724RAB87"/>
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                <balance>920000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1002800</valUSD>
                <pctVal>0.022344123635</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.75</annualizedRt>
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                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>TRIVIUM PACKAGING FINANCE BV</name>
                <lei>724500GMZWW3PVYET548</lei>
                <title>CORP. NOTE</title>
                <cusip>89686QAA4</cusip>
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                    <isin value="US89686QAA40"/>
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                <balance>1355000</balance>
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                <curCd>USD</curCd>
                <valUSD>1427831.25</valUSD>
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                <assetCat>DBT</assetCat>
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                <invCountry>NL</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>TRIVIUM PACKAGING FINANCE BV</name>
                <lei>724500GMZWW3PVYET548</lei>
                <title>CORP. NOTE</title>
                <cusip>89686QAB2</cusip>
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                    <isin value="US89686QAB23"/>
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                <balance>1195000</balance>
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                <curCd>USD</curCd>
                <valUSD>1329437.5</valUSD>
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                <assetCat>DBT</assetCat>
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                <invCountry>NL</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.5</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>ARDAGH PACKAGING FINANCE PLC / ARDAGH HOLDINGS USA INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>03969AAN0</cusip>
                <identifiers>
                    <isin value="US03969AAN00"/>
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                <balance>1865000</balance>
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                <curCd>USD</curCd>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>IE</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.125</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>ARDAGH PACKAGING FINANCE PLC / ARDAGH HOLDINGS USA INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>03969AAP5</cusip>
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                    <isin value="US03969AAP57"/>
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                <balance>1865000</balance>
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                <curCd>USD</curCd>
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                <invCountry>IE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>CLEAR CHANNEL WORLDWIDE HOLDINGS INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>18453HAA4</cusip>
                <identifiers>
                    <isin value="US18453HAA41"/>
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                <balance>1310000</balance>
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                <curCd>USD</curCd>
                <valUSD>1364103</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2027-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.125</annualizedRt>
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            <invstOrSec>
                <name>TENET HEALTHCARE CORP</name>
                <lei>0W9AIBT6U6ADJ2I8HK17</lei>
                <title>CORP. NOTE</title>
                <cusip>88033GCY4</cusip>
                <identifiers>
                    <isin value="US88033GCY44"/>
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                <balance>5233000</balance>
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                <curCd>USD</curCd>
                <valUSD>5481044.2</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-01-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>TENET HEALTHCARE CORP</name>
                <lei>0W9AIBT6U6ADJ2I8HK17</lei>
                <title>CORP. NOTE</title>
                <cusip>88033GDA5</cusip>
                <identifiers>
                    <isin value="US88033GDA58"/>
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                <balance>3855000</balance>
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                <curCd>USD</curCd>
                <valUSD>4071843.75</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.125</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>451102BU0</cusip>
                <identifiers>
                    <isin value="US451102BU05"/>
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                <balance>1115000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1145662.5</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>1011778 BC ULC / NEW RED FINANCE INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>68245XAH2</cusip>
                <identifiers>
                    <isin value="US68245XAH26"/>
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                <balance>1685000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1693425</valUSD>
                <pctVal>0.037732446715</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.875</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>BROOKFIELD RESIDENTIAL PROPERTIES INC / BROOKFIELD RESIDENTIAL US CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>11283YAB6</cusip>
                <identifiers>
                    <isin value="US11283YAB65"/>
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                <balance>875000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>923125</valUSD>
                <pctVal>0.020568826417</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.25</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>WPX ENERGY INC</name>
                <lei>ZXZE9GCS2BB547GJW219</lei>
                <title>CORP. NOTE</title>
                <cusip>98212BAJ2</cusip>
                <identifiers>
                    <isin value="US98212BAJ26"/>
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                <balance>1674000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1766070</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2027-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>LEVEL 3 FINANCING INC</name>
                <lei>OKXQCBALRQBU7RU5WQ22</lei>
                <title>CORP. NOTE</title>
                <cusip>527298BN2</cusip>
                <identifiers>
                    <isin value="US527298BN21"/>
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                <balance>930000</balance>
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                <curCd>USD</curCd>
                <valUSD>952134</valUSD>
                <pctVal>0.02121519726</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.625</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>ISTAR INC</name>
                <lei>QFFLKWYYS3UPWD86E794</lei>
                <title>CORP. NOTE</title>
                <cusip>45031UCF6</cusip>
                <identifiers>
                    <isin value="US45031UCF66"/>
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                <balance>2580000</balance>
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                <curCd>USD</curCd>
                <valUSD>2673525</valUSD>
                <pctVal>0.05957077497</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</annualizedRt>
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            <invstOrSec>
                <name>ALTICE FRANCE SA/FRANCE</name>
                <lei>5493001ZMCICV4N02J21</lei>
                <title>CORP. NOTE</title>
                <cusip>02156LAC5</cusip>
                <identifiers>
                    <isin value="US02156LAC54"/>
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                <balance>1320000</balance>
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                <curCd>USD</curCd>
                <valUSD>1354650</valUSD>
                <pctVal>0.030183952016</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>FR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
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            <invstOrSec>
                <name>INSTALLED BUILDING PRODUCTS INC</name>
                <lei>549300I95Y9P9YM5FI86</lei>
                <title>CORP. NOTE</title>
                <cusip>45780RAA9</cusip>
                <identifiers>
                    <isin value="US45780RAA95"/>
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                <balance>385000</balance>
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                <curCd>USD</curCd>
                <valUSD>411468.75</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.75</annualizedRt>
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            <invstOrSec>
                <name>BEACON ROOFING SUPPLY INC</name>
                <lei>549300HDXQWWCBOYXP31</lei>
                <title>CORP. NOTE</title>
                <cusip>073685AF6</cusip>
                <identifiers>
                    <isin value="US073685AF69"/>
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                <balance>765000</balance>
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                <curCd>USD</curCd>
                <valUSD>787950</valUSD>
                <pctVal>0.017556892918</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>CHS/COMMUNITY HEALTH SYSTEMS INC</name>
                <lei>5493007X5NC5XI1BB106</lei>
                <title>CORP. NOTE</title>
                <cusip>12543DBC3</cusip>
                <identifiers>
                    <isin value="US12543DBC39"/>
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                <balance>915000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>942450</valUSD>
                <pctVal>0.020999420941</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CREDIT ACCEPTANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>225310AL5</cusip>
                <identifiers>
                    <isin value="US225310AL52"/>
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                <balance>910000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>983937.5</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.625</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>SS AND C TECHNOLOGIES INC</name>
                <lei>549300KY09TR3J12JU49</lei>
                <title>CORP. NOTE</title>
                <cusip>78466CAC0</cusip>
                <identifiers>
                    <isin value="US78466CAC01"/>
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                <balance>3035000</balance>
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                <curCd>USD</curCd>
                <valUSD>3239862.5</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-09-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>PANTHER BF AGGREGATOR 2 LP / PANTHER FINANCE CO INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>69867DAA6</cusip>
                <identifiers>
                    <isin value="US69867DAA63"/>
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                <balance>1963000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2115132.5</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.25</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>PANTHER BF AGGREGATOR 2 LP / PANTHER FINANCE CO INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>69867DAC2</cusip>
                <identifiers>
                    <isin value="US69867DAC20"/>
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                <balance>1820000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1933750</valUSD>
                <pctVal>0.043087304625</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.5</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>ENERGY TRANSFER OPERATING LP</name>
                <lei>5493008K8W3OKZE54J59</lei>
                <title>CORP. NOTE</title>
                <cusip>29278NAM5</cusip>
                <identifiers>
                    <isin value="US29278NAM56"/>
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                <balance>1695000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1876602.13</valUSD>
                <pctVal>0.041813950943</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>STAPLES INC</name>
                <lei>XQM2JINI1UL7642TU573</lei>
                <title>CORP. NOTE</title>
                <cusip>855030AN2</cusip>
                <identifiers>
                    <isin value="US855030AN20"/>
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                <balance>4275000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4435312.5</valUSD>
                <pctVal>0.098826456779</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.5</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>ENTERCOM MEDIA CORP</name>
                <lei>549300S5JUSXRHNCHD80</lei>
                <title>CORP. NOTE</title>
                <cusip>29365DAA7</cusip>
                <identifiers>
                    <isin value="US29365DAA72"/>
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                <balance>2028000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2169960</valUSD>
                <pctVal>0.048350473197</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>EG GLOBAL FINANCE PLC</name>
                <lei>549300TL8Q5207VYET27</lei>
                <title>CORP. NOTE</title>
                <cusip>28228PAA9</cusip>
                <identifiers>
                    <isin value="US28228PAA93"/>
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                <balance>1985000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2014775</valUSD>
                <pctVal>0.044892682186</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-02-07</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>451102BT3</cusip>
                <identifiers>
                    <isin value="US451102BT32"/>
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                <balance>1730000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1842450</valUSD>
                <pctVal>0.041052982241</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>IHEARTCOMMUNICATIONS INC</name>
                <lei>54930076J6KDZL504O62</lei>
                <title>CORP. NOTE</title>
                <cusip>45174HBD8</cusip>
                <identifiers>
                    <isin value="US45174HBD89"/>
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                <balance>4547592</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>5025089.16</valUSD>
                <pctVal>0.111967703894</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>IHEARTCOMMUNICATIONS INC</name>
                <lei>54930076J6KDZL504O62</lei>
                <title>CORP. NOTE</title>
                <cusip>45174HBC0</cusip>
                <identifiers>
                    <isin value="US45174HBC07"/>
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                <balance>1540051</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1670955.34</valUSD>
                <pctVal>0.037231783711</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>BAUSCH HEALTH COS INC</name>
                <lei>B3BS7ACMDUWISF18KY76</lei>
                <title>CORP. NOTE</title>
                <cusip>071734AD9</cusip>
                <identifiers>
                    <isin value="US071734AD90"/>
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                <balance>855000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>943749</valUSD>
                <pctVal>0.021028364914</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>TRANSOCEAN SENTRY LTD</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>89385AAA3</cusip>
                <identifiers>
                    <isin value="US89385AAA34"/>
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                <balance>1545000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1572037.5</valUSD>
                <pctVal>0.035027722635</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>KY</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>BERRY GLOBAL INC</name>
                <lei>549300AP2Q7ERHX6RI89</lei>
                <title>CORP. NOTE</title>
                <cusip>085770AA3</cusip>
                <identifiers>
                    <isin value="US085770AA31"/>
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                <balance>915000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>965050.5</valUSD>
                <pctVal>0.021502999288</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>BERRY GLOBAL INC</name>
                <lei>549300AP2Q7ERHX6RI89</lei>
                <title>CORP. NOTE</title>
                <cusip>085770AB1</cusip>
                <identifiers>
                    <isin value="US085770AB14"/>
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                <balance>915000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>981337.5</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.625</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>NRG ENERGY INC</name>
                <lei>5E2UPK5SW04M13XY7I38</lei>
                <title>CORP. NOTE</title>
                <cusip>629377CK6</cusip>
                <identifiers>
                    <isin value="US629377CK62"/>
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                <balance>2238000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2314204.81</valUSD>
                <pctVal>0.051564497797</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.75</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>AMSTED INDUSTRIES INC</name>
                <lei>N2VLGYMEEBIU3PFSUY86</lei>
                <title>CORP. NOTE</title>
                <cusip>032177AH0</cusip>
                <identifiers>
                    <isin value="US032177AH01"/>
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                <balance>1375000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1457500</valUSD>
                <pctVal>0.032475628438</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-07-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>BUILDERS FIRSTSOURCE INC</name>
                <lei>549300W0SKP6L3H7DP63</lei>
                <title>CORP. NOTE</title>
                <cusip>12008RAM9</cusip>
                <identifiers>
                    <isin value="US12008RAM97"/>
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                <balance>1410000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1545712.5</valUSD>
                <pctVal>0.034441155967</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>CNO FINANCIAL GROUP INC</name>
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                <title>CORP. NOTE</title>
                <cusip>12621EAL7</cusip>
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                    <isin value="US12621EAL74"/>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2029-05-30</maturityDt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>GO DADDY OPERATING CO LLC / GD FINANCE CO INC</name>
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                <cusip>38016LAA3</cusip>
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                    <isin value="US38016LAA35"/>
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                <balance>925000</balance>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2027-12-01</maturityDt>
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            <invstOrSec>
                <name>VISTRA OPERATIONS CO LLC</name>
                <lei>549300ZH5GKBTJZ7NM23</lei>
                <title>CORP. NOTE</title>
                <cusip>92840VAD4</cusip>
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                    <isin value="US92840VAD47"/>
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                <balance>485000</balance>
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                <curCd>USD</curCd>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2024-07-15</maturityDt>
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            <invstOrSec>
                <name>VISTRA OPERATIONS CO LLC</name>
                <lei>549300ZH5GKBTJZ7NM23</lei>
                <title>CORP. NOTE</title>
                <cusip>92840VAF9</cusip>
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                    <isin value="US92840VAF94"/>
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                <balance>1215000</balance>
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                <curCd>USD</curCd>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2027-07-31</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
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            <invstOrSec>
                <name>AKER BP ASA</name>
                <lei>549300NFTY73920OYK69</lei>
                <title>CORP. NOTE</title>
                <cusip>00973RAD5</cusip>
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                    <isin value="US00973RAD52"/>
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                <balance>895000</balance>
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                <curCd>USD</curCd>
                <valUSD>928562.5</valUSD>
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                <assetCat>DBT</assetCat>
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                <invCountry>NO</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2024-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>CLEAN HARBORS INC</name>
                <lei>5493000SJVZVZJKHJF48</lei>
                <title>CORP. NOTE</title>
                <cusip>184496AN7</cusip>
                <identifiers>
                    <isin value="US184496AN71"/>
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                <balance>1290000</balance>
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                <curCd>USD</curCd>
                <valUSD>1357725</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2027-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>NEXSTAR BROADCASTING INC</name>
                <lei>5493006PK6I4I2OOT688</lei>
                <title>CORP. NOTE</title>
                <cusip>65343HAA9</cusip>
                <identifiers>
                    <isin value="US65343HAA95"/>
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                <balance>2660000</balance>
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                <curCd>USD</curCd>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2027-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.625</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>ANTERO MIDSTREAM PARTNERS LP / ANTERO MIDSTREAM FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>03690AAF3</cusip>
                <identifiers>
                    <isin value="US03690AAF30"/>
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                <balance>1880000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1635600</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.75</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>MASONITE INTERNATIONAL CORP</name>
                <lei>549300H0H07ZFT4JYM32</lei>
                <title>CORP. NOTE</title>
                <cusip>575385AD1</cusip>
                <identifiers>
                    <isin value="US575385AD19"/>
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                <balance>730000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>771062.5</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>DIAMOND SPORTS GROUP LLC / DIAMOND SPORTS FINANCE CO</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>25277LAA4</cusip>
                <identifiers>
                    <isin value="US25277LAA44"/>
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                <balance>2386000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2413563.07</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
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            <invstOrSec>
                <name>ENERGIZER HOLDINGS INC</name>
                <lei>5493000D6NN0V57UME20</lei>
                <title>CORP. NOTE</title>
                <cusip>29272WAA7</cusip>
                <identifiers>
                    <isin value="US29272WAA71"/>
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                <balance>730000</balance>
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                <curCd>USD</curCd>
                <valUSD>777450</valUSD>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>NATIONSTAR MORTGAGE HOLDINGS INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>93369KAA3</cusip>
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                    <isin value="US93369KAA34"/>
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                <balance>1570000</balance>
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                <curCd>USD</curCd>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2023-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>NATIONSTAR MORTGAGE HOLDINGS INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>93369KAB1</cusip>
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                    <isin value="US93369KAB17"/>
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                <balance>610000</balance>
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                <curCd>USD</curCd>
                <valUSD>675575</valUSD>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>9.125</annualizedRt>
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            <invstOrSec>
                <name>QORVO INC</name>
                <lei>254900YAUJV2EUEVBR11</lei>
                <title>CORP. NOTE</title>
                <cusip>74736KAF8</cusip>
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                    <isin value="US74736KAF84"/>
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                <balance>1550000</balance>
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                <curCd>USD</curCd>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
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            <invstOrSec>
                <name>TRANSOCEAN PONTUS LTD</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>89382PAA3</cusip>
                <identifiers>
                    <isin value="US89382PAA30"/>
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                <balance>1455150</balance>
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                <curCd>USD</curCd>
                <valUSD>1495166.63</valUSD>
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                <invCountry>KY</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2025-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.125</annualizedRt>
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            <invstOrSec>
                <name>SM ENERGY CO</name>
                <lei>84BUTVXV5ODI6BXNMH43</lei>
                <title>CORP. NOTE</title>
                <cusip>78454LAP5</cusip>
                <identifiers>
                    <isin value="US78454LAP58"/>
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                <balance>398000</balance>
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                <curCd>USD</curCd>
                <valUSD>391176.29</valUSD>
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                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2027-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.625</annualizedRt>
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            <invstOrSec>
                <name>VISTRA OPERATIONS CO LLC</name>
                <lei>549300ZH5GKBTJZ7NM23</lei>
                <title>CORP. NOTE</title>
                <cusip>92840VAA0</cusip>
                <identifiers>
                    <isin value="US92840VAA08"/>
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                <balance>2863000</balance>
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                <curCd>USD</curCd>
                <valUSD>3034780</valUSD>
                <pctVal>0.067620163067</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-09-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>WELLCARE HEALTH PLANS INC</name>
                <lei>529900JCT1MMTWHZ5P23</lei>
                <title>CORP. NOTE</title>
                <cusip>94946TAD8</cusip>
                <identifiers>
                    <isin value="US94946TAD81"/>
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                <balance>835000</balance>
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                <curCd>USD</curCd>
                <valUSD>889275</valUSD>
                <pctVal>0.019814589694</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>HCA INC</name>
                <lei>L3CJ6J7LJ2DX62FTXD46</lei>
                <title>CORP. NOTE</title>
                <cusip>404121AH8</cusip>
                <identifiers>
                    <isin value="US404121AH82"/>
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                <balance>2030000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2260912.5</valUSD>
                <pctVal>0.050377052679</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-09-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>ELDORADO RESORTS INC</name>
                <lei>5299000BKFWWVND5L441</lei>
                <title>CORP. NOTE</title>
                <cusip>28470RAG7</cusip>
                <identifiers>
                    <isin value="US28470RAG74"/>
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                <balance>385000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>423981.25</valUSD>
                <pctVal>0.009447037763</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>REFINITIV US HOLDINGS INC</name>
                <lei>549300NF240HXJO7N016</lei>
                <title>CORP. NOTE</title>
                <cusip>31740LAA1</cusip>
                <identifiers>
                    <isin value="US31740LAA17"/>
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                <balance>750000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>818437.5</valUSD>
                <pctVal>0.018236207306</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>STARFRUIT FINCO BV / STARFRUIT US HOLDCO LLC</name>
                <lei>549300K7VB5G6LULFT41</lei>
                <title>CORP. NOTE</title>
                <cusip>85529VAA2</cusip>
                <identifiers>
                    <isin value="US85529VAA26"/>
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                <balance>1365000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1440075</valUSD>
                <pctVal>0.032087369209</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NL</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>STARFRUIT FINCO BV / STARFRUIT US HOLDCO LLC</name>
                <lei>549300K7VB5G6LULFT41</lei>
                <title>CORP. NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="XS1885682119"/>
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                <balance>400000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.121699959"/>
                <valUSD>480513.83</valUSD>
                <pctVal>0.010706681717</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NL</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>STEVENS HOLDING CO INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>86024TAA5</cusip>
                <identifiers>
                    <isin value="US86024TAA51"/>
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                <balance>3518000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3843415</valUSD>
                <pctVal>0.085637953669</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>ASCENT RESOURCES UTICA HOLDINGS LLC / ARU FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>04364VAG8</cusip>
                <identifiers>
                    <isin value="US04364VAG86"/>
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                <balance>741000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>590947.5</valUSD>
                <pctVal>0.013167335462</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>RESIDEO FUNDING INC</name>
                <lei>5493000IFJ6XJKH66598</lei>
                <title>CORP. NOTE</title>
                <cusip>76119LAA9</cusip>
                <identifiers>
                    <isin value="US76119LAA98"/>
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                <balance>1390000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1400425</valUSD>
                <pctVal>0.031203898425</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>NINE ENERGY SERVICE INC</name>
                <lei>549300KRLJCZBPZMKT65</lei>
                <title>CORP. NOTE</title>
                <cusip>65441VAA9</cusip>
                <identifiers>
                    <isin value="US65441VAA98"/>
                </identifiers>
                <balance>1005000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>814050</valUSD>
                <pctVal>0.018138446196</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GRAY TELEVISION INC</name>
                <lei>529900TM5726KDN7UU35</lei>
                <title>CORP. NOTE</title>
                <cusip>389284AA8</cusip>
                <identifiers>
                    <isin value="US389284AA85"/>
                </identifiers>
                <balance>3795000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4217193.75</valUSD>
                <pctVal>0.093966392641</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>MERCER INTERNATIONAL INC</name>
                <lei>549300Z5IAG39VRTY874</lei>
                <title>CORP. NOTE</title>
                <cusip>588056AY7</cusip>
                <identifiers>
                    <isin value="US588056AY72"/>
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                <balance>470000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>505931.5</valUSD>
                <pctVal>0.011273031498</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>TARGA RESOURCES PARTNERS LP / TARGA RESOURCES PARTNERS FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>87612BBL5</cusip>
                <identifiers>
                    <isin value="US87612BBL53"/>
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                <balance>900000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>985500</valUSD>
                <pctVal>0.021958649623</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>TARGA RESOURCES PARTNERS LP / TARGA RESOURCES PARTNERS FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>87612BBN1</cusip>
                <identifiers>
                    <isin value="US87612BBN10"/>
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                <balance>560000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>621600</valUSD>
                <pctVal>0.013850326337</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>ENERGIZER HOLDINGS INC</name>
                <lei>5493000D6NN0V57UME20</lei>
                <title>CORP. NOTE</title>
                <cusip>29272WAB5</cusip>
                <identifiers>
                    <isin value="US29272WAB54"/>
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                <balance>165000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>184395.75</valUSD>
                <pctVal>0.004108657196</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>VISTRA OPERATIONS CO LLC</name>
                <lei>549300ZH5GKBTJZ7NM23</lei>
                <title>CORP. NOTE</title>
                <cusip>92840VAB8</cusip>
                <identifiers>
                    <isin value="US92840VAB80"/>
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                <balance>1084000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1142265</valUSD>
                <pctVal>0.025451645775</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>TENET HEALTHCARE CORP</name>
                <lei>0W9AIBT6U6ADJ2I8HK17</lei>
                <title>CORP. NOTE</title>
                <cusip>88033GCX6</cusip>
                <identifiers>
                    <isin value="US88033GCX60"/>
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                <balance>900000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>968625</valUSD>
                <pctVal>0.021582645348</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>TRANSOCEAN POSEIDON LTD</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>89383JAA6</cusip>
                <identifiers>
                    <isin value="US89383JAA60"/>
                </identifiers>
                <balance>1013000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1073780</valUSD>
                <pctVal>0.023925681169</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>KY</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LIONS GATE CAPITAL HOLDINGS LLC</name>
                <lei>549300MWJHNLR35C0837</lei>
                <title>CORP. NOTE</title>
                <cusip>53627NAC5</cusip>
                <identifiers>
                    <isin value="US53627NAC56"/>
                </identifiers>
                <balance>1810000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1891486.2</valUSD>
                <pctVal>0.042145593844</pctVal>
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                <fairValLevel>2</fairValLevel>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>GREIF INC</name>
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                <title>CORP. NOTE</title>
                <cusip>397624AH0</cusip>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2027-03-01</maturityDt>
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            <invstOrSec>
                <name>TRANSDIGM INC</name>
                <lei>88Q84GB3X55CF5OC7582</lei>
                <title>CORP. NOTE</title>
                <cusip>893647BE6</cusip>
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                <curCd>USD</curCd>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.25</annualizedRt>
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            <invstOrSec>
                <name>DUN  AND  BRADSTREET CORP/THE</name>
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                <title>CORP. NOTE</title>
                <cusip>26483EAJ9</cusip>
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                    <isin value="US26483EAJ91"/>
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                <curCd>USD</curCd>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>COMMSCOPE INC</name>
                <lei>549300Z6K4JXMFE8QY54</lei>
                <title>CORP. NOTE</title>
                <cusip>20338QAB9</cusip>
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                    <isin value="US20338QAB95"/>
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                <curCd>USD</curCd>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2024-03-01</maturityDt>
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            <invstOrSec>
                <name>COMMSCOPE INC</name>
                <lei>549300Z6K4JXMFE8QY54</lei>
                <title>CORP. NOTE</title>
                <cusip>20338QAD5</cusip>
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                <curCd>USD</curCd>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>MGM GROWTH PROPERTIES OPERATING PARTNERSHIP LP / MGP FINANCE CO-ISSUER INC</name>
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                <title>CORP. NOTE</title>
                <cusip>55303XAF2</cusip>
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                    <isin value="US55303XAF24"/>
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                <balance>680000</balance>
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                <curCd>USD</curCd>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2028-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>FIRST QUANTUM MINERALS LTD</name>
                <lei>549300I7UVBGWRYMYZ18</lei>
                <title>CORP. NOTE</title>
                <cusip>335934AR6</cusip>
                <identifiers>
                    <isin value="US335934AR67"/>
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                <balance>1095000</balance>
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                <curCd>USD</curCd>
                <valUSD>1108687.5</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.875</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>LENNAR CORP</name>
                <lei>529900G61XVRLX5TJX09</lei>
                <title>CORP. NOTE</title>
                <cusip>526057CR3</cusip>
                <identifiers>
                    <isin value="US526057CR37"/>
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                <balance>1029000</balance>
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                <curCd>USD</curCd>
                <valUSD>1147335</valUSD>
                <pctVal>0.025564614171</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>AES CORP/VA</name>
                <lei>2NUNNB7D43COUIRE5295</lei>
                <title>CORP. NOTE</title>
                <cusip>00130HCA1</cusip>
                <identifiers>
                    <isin value="US00130HCA14"/>
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                <balance>860000</balance>
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                <curCd>USD</curCd>
                <valUSD>881500</valUSD>
                <pctVal>0.019641349206</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>CIT GROUP INC</name>
                <lei>N8O96ZZJQRFYQUJY7K79</lei>
                <title>CORP. NOTE</title>
                <cusip>125581GW2</cusip>
                <identifiers>
                    <isin value="US125581GW24"/>
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                <balance>2072000</balance>
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                <curCd>USD</curCd>
                <valUSD>2279200</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-03-07</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
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            <invstOrSec>
                <name>FRONTIER COMMUNICATIONS CORP</name>
                <lei>549300ZCZ76HYCS0H445</lei>
                <title>CORP. NOTE</title>
                <cusip>35906ABA5</cusip>
                <identifiers>
                    <isin value="US35906ABA51"/>
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                <balance>829000</balance>
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                <curCd>USD</curCd>
                <valUSD>839362.5</valUSD>
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                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.5</annualizedRt>
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            <invstOrSec>
                <name>SPRINGLEAF FINANCE CORP</name>
                <lei>5493008I795YYBFWFU90</lei>
                <title>CORP. NOTE</title>
                <cusip>85172FAM1</cusip>
                <identifiers>
                    <isin value="US85172FAM14"/>
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                <balance>1408000</balance>
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                <curCd>USD</curCd>
                <valUSD>1601600</valUSD>
                <pctVal>0.035686426419</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2025-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.875</annualizedRt>
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            <invstOrSec>
                <name>AKER BP ASA</name>
                <lei>549300NFTY73920OYK69</lei>
                <title>CORP. NOTE</title>
                <cusip>00973RAC7</cusip>
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                    <isin value="US00973RAC79"/>
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                <balance>2106000</balance>
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                <curCd>USD</curCd>
                <valUSD>2237625</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NO</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2025-03-31</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</annualizedRt>
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            <invstOrSec>
                <name>LIVE NATION ENTERTAINMENT INC</name>
                <lei>5493007B9BM9ZXJINO78</lei>
                <title>CORP. NOTE</title>
                <cusip>538034AN9</cusip>
                <identifiers>
                    <isin value="US538034AN93"/>
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                <balance>1832000</balance>
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                <curCd>USD</curCd>
                <valUSD>1951080</valUSD>
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                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.625</annualizedRt>
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            <invstOrSec>
                <name>TITAN ACQUISITION LTD / TITAN CO-BORROWER LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>88827AAA1</cusip>
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                    <isin value="US88827AAA16"/>
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                <balance>1360000</balance>
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                <curCd>USD</curCd>
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                <assetCat>DBT</assetCat>
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                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>CSC HOLDINGS LLC</name>
                <lei>3HG2WD2W22M120IUNG49</lei>
                <title>CORP. NOTE</title>
                <cusip>126307AY3</cusip>
                <identifiers>
                    <isin value="US126307AY37"/>
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                <balance>1390000</balance>
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                <curCd>USD</curCd>
                <valUSD>1570700</valUSD>
                <pctVal>0.034997920815</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2028-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.5</annualizedRt>
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                    <isLoanByFund>N</isLoanByFund>
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                <name>GCP APPLIED TECHNOLOGIES INC</name>
                <lei>5493007G654QKQVEKV09</lei>
                <title>CORP. NOTE</title>
                <cusip>36164YAB7</cusip>
                <identifiers>
                    <isin value="US36164YAB74"/>
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                <balance>4461000</balance>
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                <curCd>USD</curCd>
                <valUSD>4684050</valUSD>
                <pctVal>0.104368759784</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>WYNDHAM HOTELS  AND  RESORTS INC</name>
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                <fairValLevel>2</fairValLevel>
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            <invstOrSec>
                <name>CORNERSTONE BUILDING BRANDS INC</name>
                <lei>549300IW41QEWQ6T0H29</lei>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>TOPBUILD CORP</name>
                <lei>5493007YSKHOL4RWII46</lei>
                <title>CORP. NOTE</title>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-05-01</maturityDt>
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            <invstOrSec>
                <name>FAIRFAX FINANCIAL HOLDINGS LTD</name>
                <lei>GLS7OQD0WOEDI8YAP031</lei>
                <title>CORP. NOTE</title>
                <cusip>303901BB7</cusip>
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                    <isin value="US303901BB79"/>
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                <invCountry>CA</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2028-04-17</maturityDt>
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            <invstOrSec>
                <name>SYNGENTA FINANCE NV</name>
                <lei>54930042S3BYCEGOCN86</lei>
                <title>CORP. NOTE</title>
                <cusip>87164KAC8</cusip>
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                    <isin value="US87164KAC80"/>
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                <balance>2765000</balance>
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                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2028-04-24</maturityDt>
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            <invstOrSec>
                <name>SYNGENTA FINANCE NV</name>
                <lei>54930042S3BYCEGOCN86</lei>
                <title>CORP. NOTE</title>
                <cusip>87164KAG9</cusip>
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                    <isin value="US87164KAG94"/>
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                <balance>2090000</balance>
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                <curCd>USD</curCd>
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                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2025-04-24</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>APERGY CORP</name>
                <lei>549300EP2909K6DYYP38</lei>
                <title>CORP. NOTE</title>
                <cusip>03755LAC8</cusip>
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                    <isin value="US03755LAC81"/>
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                <balance>2079000</balance>
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                <curCd>USD</curCd>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>OASIS PETROLEUM INC</name>
                <lei>529900FA4V2YNIKZ0M71</lei>
                <title>CORP. NOTE</title>
                <cusip>674215AK4</cusip>
                <identifiers>
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                <balance>572000</balance>
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                <curCd>USD</curCd>
                <valUSD>479050</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.25</annualizedRt>
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            <invstOrSec>
                <name>AMERICAN BUILDERS  AND  CONTRACTORS SUPPLY CO INC</name>
                <lei>549300H5GQ4C1BEKG397</lei>
                <title>CORP. NOTE</title>
                <cusip>024747AE7</cusip>
                <identifiers>
                    <isin value="US024747AE77"/>
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                <balance>580000</balance>
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                <curCd>USD</curCd>
                <valUSD>616250</valUSD>
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                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>GLP CAPITAL LP / GLP FINANCING II INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>361841AJ8</cusip>
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                    <isin value="US361841AJ81"/>
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                <balance>1735000</balance>
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                <curCd>USD</curCd>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2025-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
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                <name>WPX ENERGY INC</name>
                <lei>ZXZE9GCS2BB547GJW219</lei>
                <title>CORP. NOTE</title>
                <cusip>98212BAH6</cusip>
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                <balance>1378000</balance>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.75</annualizedRt>
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                <name>CENTENE CORP</name>
                <lei>549300Z7JJ4TQSQGT333</lei>
                <title>CORP. NOTE</title>
                <cusip>15137TAA8</cusip>
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                    <isin value="US15137TAA88"/>
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                <balance>950000</balance>
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                <curCd>USD</curCd>
                <valUSD>1008187.5</valUSD>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
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                <name>SPRINGLEAF FINANCE CORP</name>
                <lei>5493008I795YYBFWFU90</lei>
                <title>CORP. NOTE</title>
                <cusip>85172FAN9</cusip>
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                    <isin value="US85172FAN96"/>
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                <balance>1045000</balance>
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                <curCd>USD</curCd>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>BAUSCH HEALTH AMERICAS INC</name>
                <lei>KOO0397YRO83WY5MGD97</lei>
                <title>CORP. NOTE</title>
                <cusip>91911XAW4</cusip>
                <identifiers>
                    <isin value="US91911XAW48"/>
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                <balance>2444000</balance>
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                <curCd>USD</curCd>
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                <fairValLevel>2</fairValLevel>
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                <name>CARRIAGE SERVICES INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>143905AN7</cusip>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
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                <name>TMX FINANCE LLC / TITLEMAX FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>87261NAJ9</cusip>
                <identifiers>
                    <isin value="US87261NAJ90"/>
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                <balance>2667000</balance>
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                <curCd>USD</curCd>
                <valUSD>2413635</valUSD>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2023-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV</name>
                <lei>5493004T21MOAFINJP35</lei>
                <title>CORP. NOTE</title>
                <cusip>88167AAL5</cusip>
                <identifiers>
                    <isin value="US88167AAL52"/>
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                <balance>2890000</balance>
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                <curCd>USD</curCd>
                <valUSD>2924680</valUSD>
                <pctVal>0.065166944068</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NL</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV</name>
                <lei>5493004T21MOAFINJP35</lei>
                <title>CORP. NOTE</title>
                <cusip>88167AAK7</cusip>
                <identifiers>
                    <isin value="US88167AAK79"/>
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                <balance>2520000</balance>
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                <curCd>USD</curCd>
                <valUSD>2558329.2</valUSD>
                <pctVal>0.057004012708</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NL</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
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                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>BOYD GAMING CORP</name>
                <lei>254900787YGRYS2A1Z35</lei>
                <title>CORP. NOTE</title>
                <cusip>103304BQ3</cusip>
                <identifiers>
                    <isin value="US103304BQ38"/>
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                <balance>985000</balance>
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                <curCd>USD</curCd>
                <valUSD>1056412.5</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDEN NUGGET INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>38113YAC3</cusip>
                <identifiers>
                    <isin value="US38113YAC30"/>
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                <balance>1386000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1482153.75</valUSD>
                <pctVal>0.033024956757</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.75</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>TRONOX FINANCE PLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>89705PAA3</cusip>
                <identifiers>
                    <isin value="US89705PAA30"/>
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                <balance>1725000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1757292</valUSD>
                <pctVal>0.03915551427</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.75</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>ISTAR INC</name>
                <lei>QFFLKWYYS3UPWD86E794</lei>
                <title>CORP. NOTE</title>
                <cusip>45031UCD1</cusip>
                <identifiers>
                    <isin value="US45031UCD19"/>
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                <balance>750000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>769687.5</valUSD>
                <pctVal>0.017149972736</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>TTM TECHNOLOGIES INC</name>
                <lei>549300SC4BDOIS008048</lei>
                <title>CORP. NOTE</title>
                <cusip>87305RAH2</cusip>
                <identifiers>
                    <isin value="US87305RAH21"/>
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                <balance>3515000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3633631.25</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.625</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>PETROBRAS GLOBAL FINANCE BV</name>
                <lei>549300FNENFFSMO3GT38</lei>
                <title>CORP. NOTE</title>
                <cusip>71647NAV1</cusip>
                <identifiers>
                    <isin value="US71647NAV10"/>
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                <balance>3525000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3837843.75</valUSD>
                <pctVal>0.085513816554</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NL</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-01-27</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.299</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>MATTAMY GROUP CORP</name>
                <lei>5493008TNY7A82WCXU31</lei>
                <title>CORP. NOTE</title>
                <cusip>57701RAH5</cusip>
                <identifiers>
                    <isin value="US57701RAH57"/>
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                <balance>662000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>708340</valUSD>
                <pctVal>0.015783044012</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>MILLER HOMES GROUP HOLDINGS PLC</name>
                <lei>213800RZPP7QB22XZM09</lei>
                <title>CORP. NOTE</title>
                <cusip>G6126WAB4</cusip>
                <identifiers>
                    <isin value="XS1689521125"/>
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                <balance>1075000</balance>
                <units>PA</units>
                <currencyConditional curCd="GBP" exchangeRt="1.324599805"/>
                <valUSD>1472942.73</valUSD>
                <pctVal>0.032819719252</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CAESARS RESORT COLLECTION LLC / CRC FINCO INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>12652AAA1</cusip>
                <identifiers>
                    <isin value="US12652AAA16"/>
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                <balance>2790000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2887650</valUSD>
                <pctVal>0.064341851429</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>PETROBRAS GLOBAL FINANCE BV</name>
                <lei>549300FNENFFSMO3GT38</lei>
                <title>CORP. NOTE</title>
                <cusip>71647NAY5</cusip>
                <identifiers>
                    <isin value="US71647NAY58"/>
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                <balance>3006000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3430597.5</valUSD>
                <pctVal>0.076439663622</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NL</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-01-27</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.999</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>BAUSCH HEALTH COS INC</name>
                <lei>B3BS7ACMDUWISF18KY76</lei>
                <title>CORP. NOTE</title>
                <cusip>91911KAN2</cusip>
                <identifiers>
                    <isin value="US91911KAN28"/>
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                <balance>1220000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1274900</valUSD>
                <pctVal>0.028406983668</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>SCIENTIFIC GAMES INTERNATIONAL INC</name>
                <lei>RLTHESQ0RNFQJWPBJN60</lei>
                <title>CORP. NOTE</title>
                <cusip>80874YAW0</cusip>
                <identifiers>
                    <isin value="US80874YAW03"/>
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                <balance>2580000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2699325</valUSD>
                <pctVal>0.060145643728</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>BEACON ROOFING SUPPLY INC</name>
                <lei>549300HDXQWWCBOYXP31</lei>
                <title>CORP. NOTE</title>
                <cusip>073685AD1</cusip>
                <identifiers>
                    <isin value="US073685AD12"/>
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                <balance>1320000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1326600</valUSD>
                <pctVal>0.029558949355</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>EUROPCAR MOBILITY GROUP</name>
                <lei>969500XCGTMV08D76N87</lei>
                <title>CORP. NOTE</title>
                <cusip>F3607GAB5</cusip>
                <identifiers>
                    <isin value="XS1706202592"/>
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                <balance>1200000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.121699959"/>
                <valUSD>1335271.63</valUSD>
                <pctVal>0.029752168315</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>FR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>CONSTELLIUM SE</name>
                <lei>724500KRJEMC79KAAU28</lei>
                <title>CORP. NOTE</title>
                <cusip>210383AG0</cusip>
                <identifiers>
                    <isin value="US210383AG04"/>
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                <balance>1400000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1477000</valUSD>
                <pctVal>0.032910122266</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>FR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>NAVISTAR INTERNATIONAL CORP</name>
                <lei>WNDD3CRVXJGC8I7GX671</lei>
                <title>CORP. NOTE</title>
                <cusip>63934EAT5</cusip>
                <identifiers>
                    <isin value="US63934EAT55"/>
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                <balance>3882000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3954787.5</valUSD>
                <pctVal>0.088119526176</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>FREEDOM MORTGAGE CORP</name>
                <lei>549300LYRWPSYPK6S325</lei>
                <title>CORP. NOTE</title>
                <cusip>35640YAA5</cusip>
                <identifiers>
                    <isin value="US35640YAA55"/>
                </identifiers>
                <balance>886000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>870512.72</valUSD>
                <pctVal>0.019396533547</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>PRECISION DRILLING CORP</name>
                <lei>549300WF2OE8T5BP4B84</lei>
                <title>CORP. NOTE</title>
                <cusip>740212AL9</cusip>
                <identifiers>
                    <isin value="US740212AL91"/>
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                <balance>1713000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1627350</valUSD>
                <pctVal>0.03626018109</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>STARWOOD PROPERTY TRUST INC</name>
                <lei>BUGSFQZERKRBFWIG5267</lei>
                <title>CORP. NOTE</title>
                <cusip>85571BAL9</cusip>
                <identifiers>
                    <isin value="US85571BAL99"/>
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                <balance>2020000</balance>
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                <curCd>USD</curCd>
                <valUSD>2131100</valUSD>
                <pctVal>0.047484604983</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2025-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>IHS MARKIT LTD</name>
                <lei>549300HLPTRASHS0E726</lei>
                <title>CORP. NOTE</title>
                <cusip>44962LAC1</cusip>
                <identifiers>
                    <isin value="US44962LAC19"/>
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                <balance>450000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>473625</valUSD>
                <pctVal>0.010553186633</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>PQ CORP</name>
                <lei>2H1FRGMQKKSWC9PFJY28</lei>
                <title>CORP. NOTE</title>
                <cusip>693522AH7</cusip>
                <identifiers>
                    <isin value="US693522AH77"/>
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                <balance>2864000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3014360</valUSD>
                <pctVal>0.067165170044</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.75</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>NRG ENERGY INC</name>
                <lei>5E2UPK5SW04M13XY7I38</lei>
                <title>CORP. NOTE</title>
                <cusip>629377CE0</cusip>
                <identifiers>
                    <isin value="US629377CE03"/>
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                <balance>2235000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2424975</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.75</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>RBS GLOBAL INC / REXNORD LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>75524DAP5</cusip>
                <identifiers>
                    <isin value="US75524DAP50"/>
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                <balance>3565000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3680862.5</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</annualizedRt>
                    <isDefault>N</isDefault>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>MERCER INTERNATIONAL INC</name>
                <lei>549300Z5IAG39VRTY874</lei>
                <title>CORP. NOTE</title>
                <cusip>588056AW1</cusip>
                <identifiers>
                    <isin value="US588056AW17"/>
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                <balance>1190000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1210825</valUSD>
                <pctVal>0.026979281512</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>JELD-WEN INC</name>
                <lei>549300XWE6NM0N1HFW16</lei>
                <title>CORP. NOTE</title>
                <cusip>475795AC4</cusip>
                <identifiers>
                    <isin value="US475795AC41"/>
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                <balance>1200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1235400</valUSD>
                <pctVal>0.027526855144</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>ITRON INC</name>
                <lei>24F6LSZD18II6ICG6S41</lei>
                <title>CORP. NOTE</title>
                <cusip>465740AA6</cusip>
                <identifiers>
                    <isin value="US465740AA65"/>
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                <balance>2987000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3095278.75</valUSD>
                <pctVal>0.068968180169</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>INGEVITY CORP</name>
                <lei>5493009UTFC4B5IMGF87</lei>
                <title>CORP. NOTE</title>
                <cusip>45688CAA5</cusip>
                <identifiers>
                    <isin value="US45688CAA53"/>
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                <balance>2830000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2872450</valUSD>
                <pctVal>0.064003169061</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>VALARIS PLC</name>
                <lei>7N0UJMJLXD0MDT5D5086</lei>
                <title>CORP. NOTE</title>
                <cusip>91889DAE6</cusip>
                <identifiers>
                    <isin value="US91889DAE67"/>
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                <balance>904000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>510714.8</valUSD>
                <pctVal>0.011379611721</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>NABORS INDUSTRIES INC</name>
                <lei>549300VFQWRKICUFNU92</lei>
                <title>CORP. NOTE</title>
                <cusip>62957HAF2</cusip>
                <identifiers>
                    <isin value="US62957HAF29"/>
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                <balance>2245000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2020500</valUSD>
                <pctVal>0.045020245117</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.75</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CROWN AMERICAS LLC / CROWN AMERICAS CAPITAL CORP VI</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>228187AB6</cusip>
                <identifiers>
                    <isin value="US228187AB66"/>
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                <balance>1965000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2075531.25</valUSD>
                <pctVal>0.046246436835</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>MEREDITH CORP</name>
                <lei>549300YC8BC386CCTS24</lei>
                <title>CORP. NOTE</title>
                <cusip>589433AB7</cusip>
                <identifiers>
                    <isin value="US589433AB71"/>
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                <balance>1920000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1996224</valUSD>
                <pctVal>0.044479333724</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.875</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>BERRY GLOBAL INC</name>
                <lei>549300AP2Q7ERHX6RI89</lei>
                <title>CORP. NOTE</title>
                <cusip>08576PAA9</cusip>
                <identifiers>
                    <isin value="US08576PAA93"/>
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                <balance>1990000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2044128</valUSD>
                <pctVal>0.045546717947</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>T-MOBILE USA INC</name>
                <lei>549300V2JRLO5DIFGE82</lei>
                <title>CORP. NOTE</title>
                <cusip>87264AAU9</cusip>
                <identifiers>
                    <isin value="US87264AAU97"/>
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                <balance>730000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>748250</valUSD>
                <pctVal>0.016672308047</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>WASTE PRO USA INC</name>
                <lei>549300BY1QXU5BI3UF28</lei>
                <title>CORP. NOTE</title>
                <cusip>94107JAA1</cusip>
                <identifiers>
                    <isin value="US94107JAA16"/>
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                <balance>2199000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2292457.5</valUSD>
                <pctVal>0.051079930003</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>WESTERN DIGITAL CORP</name>
                <lei>549300QQXOOYEF89IC56</lei>
                <title>CORP. NOTE</title>
                <cusip>958102AM7</cusip>
                <identifiers>
                    <isin value="US958102AM75"/>
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                <balance>2410000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2512425</valUSD>
                <pctVal>0.055981187498</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>INDIGO NATURAL RESOURCES LLC</name>
                <lei>549300F7DOI6H6TA3C86</lei>
                <title>CORP. NOTE</title>
                <cusip>45569LAA9</cusip>
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                    <isin value="US45569LAA98"/>
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                <balance>1161000</balance>
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                <curCd>USD</curCd>
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                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>TENNANT CO</name>
                <lei>JYAIRLT8DVP6DP8UT336</lei>
                <title>CORP. NOTE</title>
                <cusip>880345AB9</cusip>
                <identifiers>
                    <isin value="US880345AB97"/>
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                <balance>1791000</balance>
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                <curCd>USD</curCd>
                <valUSD>1871595</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2025-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>TEMPO ACQUISITION LLC / TEMPO ACQUISITION FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>88023JAA4</cusip>
                <identifiers>
                    <isin value="US88023JAA43"/>
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                <balance>1485000</balance>
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                <curCd>USD</curCd>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2025-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.75</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>COMSTOCK RESOURCES INC</name>
                <lei>I03QQGEA4SS774AURI46</lei>
                <title>CORP. NOTE</title>
                <cusip>22304LAA8</cusip>
                <identifiers>
                    <isin value="US22304LAA89"/>
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                <balance>2638000</balance>
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                <curCd>USD</curCd>
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                <issuerCat>CORP</issuerCat>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2025-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.5</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>CHEMOURS CO/THE</name>
                <lei>549300M1BOLNXL8DOV14</lei>
                <title>CORP. NOTE</title>
                <cusip>163851AE8</cusip>
                <identifiers>
                    <isin value="US163851AE83"/>
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                <balance>790000</balance>
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                <curCd>USD</curCd>
                <valUSD>699150</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2027-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>GREAT LAKES DREDGE  AND  DOCK CORP</name>
                <lei>549300H65E3MZ1CX0P05</lei>
                <title>CORP. NOTE</title>
                <cusip>390607AE9</cusip>
                <identifiers>
                    <isin value="US390607AE97"/>
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                <balance>2685000</balance>
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                <curCd>USD</curCd>
                <valUSD>2839387.5</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>MOLINA HEALTHCARE INC</name>
                <lei>549300NQQCEQ46YHZ591</lei>
                <title>CORP. NOTE</title>
                <cusip>60855RAH3</cusip>
                <identifiers>
                    <isin value="US60855RAH30"/>
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                <balance>395000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>405862.5</valUSD>
                <pctVal>0.009043320581</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</annualizedRt>
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            <invstOrSec>
                <name>PROVIDENT FUNDING ASSOCIATES LP / PFG FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>74387UAJ0</cusip>
                <identifiers>
                    <isin value="US74387UAJ07"/>
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                <balance>2185000</balance>
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                <curCd>USD</curCd>
                <valUSD>2141300</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.375</annualizedRt>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>TENET HEALTHCARE CORP</name>
                <lei>0W9AIBT6U6ADJ2I8HK17</lei>
                <title>CORP. NOTE</title>
                <cusip>88033GCS7</cusip>
                <identifiers>
                    <isin value="US88033GCS75"/>
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                <balance>1135000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1161956.25</valUSD>
                <pctVal>0.025890400985</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.625</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>KFC HOLDING CO/PIZZA HUT HOLDINGS LLC/TACO BELL OF AMERICA LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>48250NAC9</cusip>
                <identifiers>
                    <isin value="US48250NAC92"/>
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                <balance>1055000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1110387.5</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</annualizedRt>
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            <invstOrSec>
                <name>WERNER FINCO LP / WERNER FINCO INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>95076PAA1</cusip>
                <identifiers>
                    <isin value="US95076PAA12"/>
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                <balance>1380000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1286850</valUSD>
                <pctVal>0.028673250398</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2025-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.75</annualizedRt>
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            <invstOrSec>
                <name>AKER BP ASA</name>
                <lei>549300NFTY73920OYK69</lei>
                <title>CORP. NOTE</title>
                <cusip>00973RAA1</cusip>
                <identifiers>
                    <isin value="US00973RAA14"/>
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                <balance>2750000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2825625</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NO</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2022-07-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6</annualizedRt>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>DIAMONDBACK ENERGY INC</name>
                <lei>549300R22LSX6OHWEN64</lei>
                <title>CORP. NOTE</title>
                <cusip>25278XAH2</cusip>
                <identifiers>
                    <isin value="US25278XAH26"/>
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                <balance>2489000</balance>
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                <curCd>USD</curCd>
                <valUSD>2613259.49</valUSD>
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                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2025-05-31</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
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            <invstOrSec>
                <name>NABORS INDUSTRIES INC</name>
                <lei>549300VFQWRKICUFNU92</lei>
                <title>CORP. NOTE</title>
                <cusip>62957HAC9</cusip>
                <identifiers>
                    <isin value="US62957HAC97"/>
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                <balance>330000</balance>
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                <curCd>USD</curCd>
                <valUSD>316800</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2023-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
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            <invstOrSec>
                <name>VISTRA ENERGY CORP</name>
                <lei>549300KP43CPCUJOOG15</lei>
                <title>CORP. NOTE</title>
                <cusip>26817RBA5</cusip>
                <identifiers>
                    <isin value="US26817RBA59"/>
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                <balance>999000</balance>
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                <curCd>USD</curCd>
                <valUSD>1068930</valUSD>
                <pctVal>0.023817614756</pctVal>
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                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-01-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.125</annualizedRt>
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            <invstOrSec>
                <name>1011778 BC ULC / NEW RED FINANCE INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>68245XAE9</cusip>
                <identifiers>
                    <isin value="US68245XAE94"/>
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                <balance>2285000</balance>
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                <curCd>USD</curCd>
                <valUSD>2370687.5</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>PARK-OHIO INDUSTRIES INC</name>
                <lei>5493006LQUO5SLMNYM18</lei>
                <title>CORP. NOTE</title>
                <cusip>700677AR8</cusip>
                <identifiers>
                    <isin value="US700677AR89"/>
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                <balance>2428000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2471837.55</valUSD>
                <pctVal>0.055076828702</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.625</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>BIG RIVER STEEL LLC / BRS FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>08949LAA8</cusip>
                <identifiers>
                    <isin value="US08949LAA89"/>
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                <balance>3316000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3498380</valUSD>
                <pctVal>0.07794997531</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-09-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.25</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>IRON MOUNTAIN INC</name>
                <lei>SQL3F6CKNNBM3SQGHX24</lei>
                <title>CORP. NOTE</title>
                <cusip>46284VAC5</cusip>
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                    <isin value="US46284VAC54"/>
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                <balance>2840000</balance>
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                <curCd>USD</curCd>
                <valUSD>2925200</valUSD>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2027-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>STEEL DYNAMICS INC</name>
                <lei>549300HGGKEL4FYTTQ83</lei>
                <title>CORP. NOTE</title>
                <cusip>858119BH2</cusip>
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                <balance>280000</balance>
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                <curCd>USD</curCd>
                <valUSD>287746.74</valUSD>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.125</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>GOLDEN NUGGET INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>38113YAE9</cusip>
                <identifiers>
                    <isin value="US38113YAE95"/>
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                <balance>3633000</balance>
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                <curCd>USD</curCd>
                <valUSD>3760155</valUSD>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2024-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.75</annualizedRt>
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            <invstOrSec>
                <name>ENTERCOM MEDIA CORP</name>
                <lei>549300S5JUSXRHNCHD80</lei>
                <title>CORP. NOTE</title>
                <cusip>124847AC8</cusip>
                <identifiers>
                    <isin value="US124847AC84"/>
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                <balance>1660000</balance>
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                <curCd>USD</curCd>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2024-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.25</annualizedRt>
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            <invstOrSec>
                <name>KINETIC CONCEPTS INC / KCI USA INC</name>
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                <title>CORP. NOTE</title>
                <cusip>49461BAH7</cusip>
                <identifiers>
                    <isin value="US49461BAH78"/>
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                <balance>1367000</balance>
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                <curCd>USD</curCd>
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                <issuerCat>CORP</issuerCat>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2021-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>12.5</annualizedRt>
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            <invstOrSec>
                <name>LIONS GATE CAPITAL HOLDINGS LLC</name>
                <lei>549300MWJHNLR35C0837</lei>
                <title>CORP. NOTE</title>
                <cusip>53627NAA9</cusip>
                <identifiers>
                    <isin value="US53627NAA90"/>
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                <balance>1817000</balance>
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                <curCd>USD</curCd>
                <valUSD>1826085</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2024-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</annualizedRt>
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            <invstOrSec>
                <name>SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC / SPRINT SPECTRUM CO III LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>85208NAA8</cusip>
                <identifiers>
                    <isin value="US85208NAA81"/>
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                <balance>649687.5</balance>
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                <curCd>USD</curCd>
                <valUSD>655469.72</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2021-09-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.36</annualizedRt>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>LIVE NATION ENTERTAINMENT INC</name>
                <lei>5493007B9BM9ZXJINO78</lei>
                <title>CORP. NOTE</title>
                <cusip>538034AK5</cusip>
                <identifiers>
                    <isin value="US538034AK54"/>
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                <balance>2091000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2164185</valUSD>
                <pctVal>0.048221796178</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</annualizedRt>
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            <invstOrSec>
                <name>LAMB WESTON HOLDINGS INC</name>
                <lei>5493005SMYID1D2OY946</lei>
                <title>CORP. NOTE</title>
                <cusip>513272AA2</cusip>
                <identifiers>
                    <isin value="US513272AA27"/>
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                <balance>440000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>466950</valUSD>
                <pctVal>0.010404456055</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.625</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>JACK OHIO FINANCE LLC / JACK OHIO FINANCE 1 CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>46647DAA1</cusip>
                <identifiers>
                    <isin value="US46647DAA19"/>
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                <balance>310000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>316200</valUSD>
                <pctVal>0.007045484536</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2021-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.75</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>LAMB WESTON HOLDINGS INC</name>
                <lei>5493005SMYID1D2OY946</lei>
                <title>CORP. NOTE</title>
                <cusip>513272AB0</cusip>
                <identifiers>
                    <isin value="US513272AB00"/>
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                <balance>1799000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1906940</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</annualizedRt>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>CODERE FINANCE 2 LUXEMBOURG SA</name>
                <lei>2221005CUH65GSJUKB29</lei>
                <title>CORP. NOTE</title>
                <cusip>L1861UAG1</cusip>
                <identifiers>
                    <isin value="XS1513765922"/>
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                <balance>1250000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.121699959"/>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>LU</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2021-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.75</annualizedRt>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>BOMBARDIER INC</name>
                <lei>W7L3VLU8EHQY34Z36697</lei>
                <title>CORP. NOTE</title>
                <cusip>097751BP5</cusip>
                <identifiers>
                    <isin value="US097751BP56"/>
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                <balance>848000</balance>
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                <curCd>USD</curCd>
                <valUSD>929620</valUSD>
                <pctVal>0.020713546283</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2021-12-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.75</annualizedRt>
                    <isDefault>N</isDefault>
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            <invstOrSec>
                <name>CHENIERE CORPUS CHRISTI HOLDINGS LLC</name>
                <lei>549300I7CIEWU1BBLQ53</lei>
                <title>CORP. NOTE</title>
                <cusip>16412XAC9</cusip>
                <identifiers>
                    <isin value="US16412XAC92"/>
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                <balance>1494000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1679943.24</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-03-31</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>LOUISIANA-PACIFIC CORP</name>
                <lei>549300C7E2UAO5BVRR75</lei>
                <title>CORP. NOTE</title>
                <cusip>546347AK1</cusip>
                <identifiers>
                    <isin value="US546347AK18"/>
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                <balance>2158000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2230832.5</valUSD>
                <pctVal>0.049706818097</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>NOBLE HOLDING INTERNATIONAL LTD</name>
                <lei>549300GNEZBJHMST9U32</lei>
                <title>CORP. NOTE</title>
                <cusip>65504LAP2</cusip>
                <identifiers>
                    <isin value="US65504LAP22"/>
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                <balance>735000</balance>
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                <curCd>USD</curCd>
                <valUSD>381832.5</valUSD>
                <pctVal>0.008507890495</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>KY</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.75</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>PETROLEOS MEXICANOS</name>
                <lei>549300CAZKPF4HKMPX17</lei>
                <title>CORP. NOTE</title>
                <cusip>71654QCG5</cusip>
                <identifiers>
                    <isin value="US71654QCG55"/>
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                <balance>12357000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>13084629.59</valUSD>
                <pctVal>0.291548246183</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>MX</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-03-13</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>PETROBRAS GLOBAL FINANCE BV</name>
                <lei>549300FNENFFSMO3GT38</lei>
                <title>CORP. NOTE</title>
                <cusip>71647NAS8</cusip>
                <identifiers>
                    <isin value="US71647NAS80"/>
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                <balance>11611000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>14165420</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NL</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2027-01-17</maturityDt>
                    <couponKind>Fixed</couponKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>PETROBRAS GLOBAL FINANCE BV</name>
                <lei>549300FNENFFSMO3GT38</lei>
                <title>CORP. NOTE</title>
                <cusip>71647NAR0</cusip>
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                    <isin value="US71647NAR08"/>
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                <balance>23947000</balance>
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                <curCd>USD</curCd>
                <valUSD>25623290</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NL</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-01-17</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.125</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FINANCE CORP</name>
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                <title>CORP. NOTE</title>
                <cusip>451102BM8</cusip>
                <identifiers>
                    <isin value="US451102BM88"/>
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                <balance>1110000</balance>
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                <curCd>USD</curCd>
                <valUSD>1151625</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.75</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>MEG ENERGY CORP</name>
                <lei>5493002WXPTG5ZC1T326</lei>
                <title>CORP. NOTE</title>
                <cusip>552704AD0</cusip>
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                    <isin value="US552704AD04"/>
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                <balance>1345000</balance>
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                <curCd>USD</curCd>
                <valUSD>1398934.5</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.5</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>NIELSEN CO LUXEMBOURG SARL/THE</name>
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                <title>CORP. NOTE</title>
                <cusip>65410CAC4</cusip>
                <identifiers>
                    <isin value="US65410CAC47"/>
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                <balance>3026000</balance>
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                <curCd>USD</curCd>
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                <assetCat>DBT</assetCat>
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                <invCountry>LU</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2025-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>MERCER INTERNATIONAL INC</name>
                <lei>549300Z5IAG39VRTY874</lei>
                <title>CORP. NOTE</title>
                <cusip>588056AU5</cusip>
                <identifiers>
                    <isin value="US588056AU50"/>
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                <balance>1601000</balance>
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                <curCd>USD</curCd>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2024-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.5</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>IHS MARKIT LTD</name>
                <lei>549300HLPTRASHS0E726</lei>
                <title>CORP. NOTE</title>
                <cusip>44962LAB3</cusip>
                <identifiers>
                    <isin value="US44962LAB36"/>
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                <balance>1345000</balance>
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                <curCd>USD</curCd>
                <valUSD>1462687.5</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>HOWARD HUGHES CORP/THE</name>
                <lei>549300BVHY25JZC1KI49</lei>
                <title>CORP. NOTE</title>
                <cusip>44267DAB3</cusip>
                <identifiers>
                    <isin value="US44267DAB38"/>
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                <balance>2831000</balance>
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                <curCd>USD</curCd>
                <valUSD>2951317.5</valUSD>
                <pctVal>0.065760473778</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
                    <isDefault>N</isDefault>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>LPL HOLDINGS INC</name>
                <lei>549300Z5YF8CCRMYUL26</lei>
                <title>CORP. NOTE</title>
                <cusip>50212YAB0</cusip>
                <identifiers>
                    <isin value="US50212YAB02"/>
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                <balance>4245000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4441331.25</valUSD>
                <pctVal>0.09896056497</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.75</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>CHS/COMMUNITY HEALTH SYSTEMS INC</name>
                <lei>5493007X5NC5XI1BB106</lei>
                <title>CORP. NOTE</title>
                <cusip>12543DAY6</cusip>
                <identifiers>
                    <isin value="US12543DAY67"/>
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                <balance>9074000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>9210110</valUSD>
                <pctVal>0.20521722829</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-03-31</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>BAUSCH HEALTH COS INC</name>
                <lei>B3BS7ACMDUWISF18KY76</lei>
                <title>CORP. NOTE</title>
                <cusip>91911KAK8</cusip>
                <identifiers>
                    <isin value="US91911KAK88"/>
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                <balance>1985000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2064400</valUSD>
                <pctVal>0.045998413274</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>BAUSCH HEALTH COS INC</name>
                <lei>B3BS7ACMDUWISF18KY76</lei>
                <title>CORP. NOTE</title>
                <cusip>91911KAJ1</cusip>
                <identifiers>
                    <isin value="US91911KAJ16"/>
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                <balance>660000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>674850</valUSD>
                <pctVal>0.015036828715</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.5</annualizedRt>
                    <isDefault>N</isDefault>
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            <invstOrSec>
                <name>WELLCARE HEALTH PLANS INC</name>
                <lei>529900JCT1MMTWHZ5P23</lei>
                <title>CORP. NOTE</title>
                <cusip>94946TAC0</cusip>
                <identifiers>
                    <isin value="US94946TAC09"/>
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                <balance>955000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>993200</valUSD>
                <pctVal>0.022130218981</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
                    <isDefault>N</isDefault>
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            <invstOrSec>
                <name>T-MOBILE USA INC</name>
                <lei>549300V2JRLO5DIFGE82</lei>
                <title>CORP. NOTE</title>
                <cusip>87264AAR6</cusip>
                <identifiers>
                    <isin value="US87264AAR68"/>
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                <balance>555000</balance>
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                <curCd>USD</curCd>
                <valUSD>568181.25</valUSD>
                <pctVal>0.012660063918</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>GARTNER INC</name>
                <lei>PP55B5R38BFB8O8HH686</lei>
                <title>CORP. NOTE</title>
                <cusip>366651AB3</cusip>
                <identifiers>
                    <isin value="US366651AB38"/>
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                <balance>1940000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2020025</valUSD>
                <pctVal>0.045009661293</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.125</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>KRATON POLYMERS LLC / KRATON POLYMERS CAPITAL CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>50077DAE4</cusip>
                <identifiers>
                    <isin value="US50077DAE40"/>
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                <balance>593000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>610790</valUSD>
                <pctVal>0.013609460784</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>BWAY HOLDING CO</name>
                <lei>549300DNGHXL0OMHW304</lei>
                <title>CORP. NOTE</title>
                <cusip>12429TAD6</cusip>
                <identifiers>
                    <isin value="US12429TAD63"/>
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                <balance>893000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>919879.3</valUSD>
                <pctVal>0.02049650659</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>BWAY HOLDING CO</name>
                <lei>549300DNGHXL0OMHW304</lei>
                <title>CORP. NOTE</title>
                <cusip>12429TAE4</cusip>
                <identifiers>
                    <isin value="US12429TAE47"/>
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                <balance>1380000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1362750</valUSD>
                <pctVal>0.030364434068</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>ASCENT RESOURCES UTICA HOLDINGS LLC / ARU FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>04364VAA1</cusip>
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                    <isin value="US04364VAA17"/>
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                <balance>1589000</balance>
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                <curCd>USD</curCd>
                <valUSD>1580467.07</valUSD>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2022-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>10</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>LEVEL 3 FINANCING INC</name>
                <lei>OKXQCBALRQBU7RU5WQ22</lei>
                <title>CORP. NOTE</title>
                <cusip>527298BM4</cusip>
                <identifiers>
                    <isin value="US527298BM48"/>
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                <balance>4625000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4810000</valUSD>
                <pctVal>0.107175144279</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>ATS AUTOMATION TOOLING SYSTEMS INC</name>
                <lei>5493005KP4RP3IU7HQ41</lei>
                <title>CORP. NOTE</title>
                <cusip>001940AA3</cusip>
                <identifiers>
                    <isin value="US001940AA33"/>
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                <balance>1568000</balance>
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                <curCd>USD</curCd>
                <valUSD>1618110.62</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.5</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>ELDORADO RESORTS INC</name>
                <lei>5299000BKFWWVND5L441</lei>
                <title>CORP. NOTE</title>
                <cusip>28470RAC6</cusip>
                <identifiers>
                    <isin value="US28470RAC60"/>
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                <balance>1394000</balance>
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                <curCd>USD</curCd>
                <valUSD>1449760</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2023-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>WPX ENERGY INC</name>
                <lei>ZXZE9GCS2BB547GJW219</lei>
                <title>CORP. NOTE</title>
                <cusip>98212BAG8</cusip>
                <identifiers>
                    <isin value="US98212BAG86"/>
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                <balance>317000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>364550</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.25</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>JAGUAR HOLDING CO II / PHARMACEUTICAL PRODUCT DEVELOPMENT LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>47010DAA8</cusip>
                <identifiers>
                    <isin value="US47010DAA81"/>
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                <balance>3400000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3509437.51</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.375</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>LEVEL 3 FINANCING INC</name>
                <lei>OKXQCBALRQBU7RU5WQ22</lei>
                <title>CORP. NOTE</title>
                <cusip>527298BC6</cusip>
                <identifiers>
                    <isin value="US527298BC65"/>
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                <balance>1066000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1069198</valUSD>
                <pctVal>0.02382358626</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.625</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>MOLINA HEALTHCARE INC</name>
                <lei>549300NQQCEQ46YHZ591</lei>
                <title>CORP. NOTE</title>
                <cusip>60855RAG5</cusip>
                <identifiers>
                    <isin value="US60855RAG56"/>
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                <balance>2175000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2311981.5</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>ALLY FINANCIAL INC</name>
                <lei>549300JBN1OSM8YNAI90</lei>
                <title>CORP. NOTE</title>
                <cusip>02005NBF6</cusip>
                <identifiers>
                    <isin value="US02005NBF69"/>
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                <balance>1193000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1334668.75</valUSD>
                <pctVal>0.029738735103</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-11-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.75</annualizedRt>
                    <isDefault>N</isDefault>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>CALIFORNIA RESOURCES CORP</name>
                <lei>5493003Q8F0T4F4YMR48</lei>
                <title>CORP. NOTE</title>
                <cusip>13057QAG2</cusip>
                <identifiers>
                    <isin value="US13057QAG29"/>
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                <balance>881000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>378830</valUSD>
                <pctVal>0.008440989586</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>GLP CAPITAL LP / GLP FINANCING II INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>361841AH2</cusip>
                <identifiers>
                    <isin value="US361841AH26"/>
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                <balance>1191000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1316531.4</valUSD>
                <pctVal>0.029334603481</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>HANESBRANDS INC</name>
                <lei>GX5LWVWZLL5S4W1L2F20</lei>
                <title>CORP. NOTE</title>
                <cusip>410345AJ1</cusip>
                <identifiers>
                    <isin value="US410345AJ12"/>
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                <balance>1375000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1450047.5</valUSD>
                <pctVal>0.032309573809</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.625</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>NRG ENERGY INC</name>
                <lei>5E2UPK5SW04M13XY7I38</lei>
                <title>CORP. NOTE</title>
                <cusip>629377CA8</cusip>
                <identifiers>
                    <isin value="US629377CA80"/>
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                <balance>1216000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1328480</valUSD>
                <pctVal>0.029600839017</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.25</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>PENSKE AUTOMOTIVE GROUP INC</name>
                <lei>549300W7UTQ0M4C7LB15</lei>
                <title>CORP. NOTE</title>
                <cusip>70959WAG8</cusip>
                <identifiers>
                    <isin value="US70959WAG87"/>
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                <balance>733000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>767817.5</valUSD>
                <pctVal>0.017108305893</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>JOSEPH T RYERSON  AND  SON INC</name>
                <lei>54930086XMNNXPXPWJ34</lei>
                <title>CORP. NOTE</title>
                <cusip>48088LAA5</cusip>
                <identifiers>
                    <isin value="US48088LAA52"/>
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                <balance>857000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>904135</valUSD>
                <pctVal>0.020145696273</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>11</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>DENBURY RESOURCES INC</name>
                <lei>549300KCWA5W52MS5559</lei>
                <title>CORP. NOTE</title>
                <cusip>247916AF6</cusip>
                <identifiers>
                    <isin value="US247916AF60"/>
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                <balance>4247000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4108972.5</valUSD>
                <pctVal>0.091555035452</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2021-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>9</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>US CONCRETE INC</name>
                <lei>549300J94Q38BL8BMH45</lei>
                <title>CORP. NOTE</title>
                <cusip>90333LAP7</cusip>
                <identifiers>
                    <isin value="US90333LAP76"/>
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                <balance>2351000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2453856.25</valUSD>
                <pctVal>0.054676174144</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>TRANSDIGM INC</name>
                <lei>88Q84GB3X55CF5OC7582</lei>
                <title>CORP. NOTE</title>
                <cusip>893647BB2</cusip>
                <identifiers>
                    <isin value="US893647BB29"/>
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                <balance>2380000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2524251.8</valUSD>
                <pctVal>0.056244709118</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>KFC HOLDING CO/PIZZA HUT HOLDINGS LLC/TACO BELL OF AMERICA LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>48250NAA3</cusip>
                <identifiers>
                    <isin value="US48250NAA37"/>
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                <balance>1680000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1740900</valUSD>
                <pctVal>0.038790272074</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
                    <isDefault>N</isDefault>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>KFC HOLDING CO/PIZZA HUT HOLDINGS LLC/TACO BELL OF AMERICA LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>48250NAB1</cusip>
                <identifiers>
                    <isin value="US48250NAB10"/>
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                <balance>1680000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1772400</valUSD>
                <pctVal>0.039492146719</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>DELL INTERNATIONAL LLC / EMC CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>25272KAW3</cusip>
                <identifiers>
                    <isin value="US25272KAW36"/>
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                <balance>2271000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2395905</valUSD>
                <pctVal>0.053384919762</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>SIX FLAGS ENTERTAINMENT CORP</name>
                <lei>549300JYTDUAA4JQ3717</lei>
                <title>CORP. NOTE</title>
                <cusip>83001AAB8</cusip>
                <identifiers>
                    <isin value="US83001AAB89"/>
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                <balance>3821000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3959511.25</valUSD>
                <pctVal>0.08822477952</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-07-31</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>TRANSOCEAN INC</name>
                <lei>DOL4HJ22ADYSIWES4H94</lei>
                <title>CORP. NOTE</title>
                <cusip>893830BE8</cusip>
                <identifiers>
                    <isin value="US893830BE80"/>
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                <balance>77000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>81331.25</valUSD>
                <pctVal>0.001812201342</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>9</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>HOLLY ENERGY PARTNERS LP / HOLLY ENERGY FINANCE CORP</name>
                <lei>549300HLPTRASHS0E726</lei>
                <title>CORP. NOTE</title>
                <cusip>435765AG7</cusip>
                <identifiers>
                    <isin value="US435765AG70"/>
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                <balance>3898000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4068537.5</valUSD>
                <pctVal>0.090654073506</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>NEXSTAR BROADCASTING INC</name>
                <lei>5493006PK6I4I2OOT688</lei>
                <title>CORP. NOTE</title>
                <cusip>65341XAA6</cusip>
                <identifiers>
                    <isin value="US65341XAA63"/>
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                <balance>1382000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1440735</valUSD>
                <pctVal>0.032102075154</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>NRG ENERGY INC</name>
                <lei>5E2UPK5SW04M13XY7I38</lei>
                <title>CORP. NOTE</title>
                <cusip>629377CC4</cusip>
                <identifiers>
                    <isin value="US629377CC47"/>
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                <balance>413000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>448105</valUSD>
                <pctVal>0.009984556763</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>AXALTA COATING SYSTEMS LLC</name>
                <lei>549300G80QONCHILSF69</lei>
                <title>CORP. NOTE</title>
                <cusip>05453GAA3</cusip>
                <identifiers>
                    <isin value="US05453GAA31"/>
                </identifiers>
                <balance>1865000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1930275</valUSD>
                <pctVal>0.043009875597</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SEVENTY SEVEN ENERGY INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>818ESCAB1</cusip>
                <identifiers>
                    <isin value="US818097AB30"/>
                </identifiers>
                <balance>3730000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>373</valUSD>
                <pctVal>0.000008311087</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>3</fairValLevel>
                <debtSec>
                    <maturityDt>2022-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>BUILDERS FIRSTSOURCE INC</name>
                <lei>549300W0SKP6L3H7DP63</lei>
                <title>CORP. NOTE</title>
                <cusip>12008RAJ6</cusip>
                <identifiers>
                    <isin value="US12008RAJ68"/>
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                <balance>1701000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1769040</valUSD>
                <pctVal>0.039417280091</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-09-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>NOVELIS CORP</name>
                <lei>549300G5F3W3B52WYL23</lei>
                <title>CORP. NOTE</title>
                <cusip>670001AA4</cusip>
                <identifiers>
                    <isin value="US670001AA49"/>
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                <balance>5660000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>5935925</valUSD>
                <pctVal>0.132262706507</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>BOISE CASCADE CO</name>
                <lei>549300Z8B8LSRHC7XA55</lei>
                <title>CORP. NOTE</title>
                <cusip>09739DAC4</cusip>
                <identifiers>
                    <isin value="US09739DAC48"/>
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                <balance>4267000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4437680</valUSD>
                <pctVal>0.098879208786</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-09-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>BMC EAST LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>055604AA0</cusip>
                <identifiers>
                    <isin value="US055604AA02"/>
                </identifiers>
                <balance>3105000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3229200</valUSD>
                <pctVal>0.071952177943</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>ROYAL BANK OF SCOTLAND GROUP PLC</name>
                <lei>2138005O9XJIJN4JPN90</lei>
                <title>CORP. NOTE</title>
                <cusip>780097BD2</cusip>
                <identifiers>
                    <isin value="US780097BD21"/>
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                <balance>1580000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1655893.26</valUSD>
                <pctVal>0.036896174439</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-09-12</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>HCA INC</name>
                <lei>L3CJ6J7LJ2DX62FTXD46</lei>
                <title>CORP. NOTE</title>
                <cusip>404119BN8</cusip>
                <identifiers>
                    <isin value="US404119BN87"/>
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                <balance>1885000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2060619.64</valUSD>
                <pctVal>0.045914180296</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>PETROBRAS GLOBAL FINANCE BV</name>
                <lei>549300FNENFFSMO3GT38</lei>
                <title>CORP. NOTE</title>
                <cusip>71647NAM1</cusip>
                <identifiers>
                    <isin value="US71647NAM11"/>
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                <balance>4451000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4996247.5</valUSD>
                <pctVal>0.111325061677</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NL</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-03-17</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CEMEX FINANCE LLC</name>
                <lei>529900USOXVC2TX3H980</lei>
                <title>CORP. NOTE</title>
                <cusip>12516UAD7</cusip>
                <identifiers>
                    <isin value="US12516UAD72"/>
                </identifiers>
                <balance>1300000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1336413</valUSD>
                <pctVal>0.029777600019</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NIELSEN FINANCE LLC / NIELSEN FINANCE CO</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>65409QBB7</cusip>
                <identifiers>
                    <isin value="US65409QBB77"/>
                </identifiers>
                <balance>3597000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3610488.75</valUSD>
                <pctVal>0.080447952744</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ANTERO RESOURCES CORP</name>
                <lei>APVBKPOULHUX7YZLKU17</lei>
                <title>CORP. NOTE</title>
                <cusip>03674XAC0</cusip>
                <identifiers>
                    <isin value="US03674XAC02"/>
                </identifiers>
                <balance>1366000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1219155</valUSD>
                <pctVal>0.027164888362</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-12-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CENTENE CORP</name>
                <lei>549300Z7JJ4TQSQGT333</lei>
                <title>CORP. NOTE</title>
                <cusip>15135BAD3</cusip>
                <identifiers>
                    <isin value="US15135BAD38"/>
                </identifiers>
                <balance>1466000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1495320</valUSD>
                <pctVal>0.033318323647</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SABINE PASS LIQUEFACTION LLC</name>
                <lei>549300KJYBG7C6WJYZ11</lei>
                <title>CORP. NOTE</title>
                <cusip>785592AJ5</cusip>
                <identifiers>
                    <isin value="US785592AJ58"/>
                </identifiers>
                <balance>775000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>864665.93</valUSD>
                <pctVal>0.019266256923</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>SM ENERGY CO</name>
                <lei>84BUTVXV5ODI6BXNMH43</lei>
                <title>CORP. NOTE</title>
                <cusip>78454LAH3</cusip>
                <identifiers>
                    <isin value="US78454LAH33"/>
                </identifiers>
                <balance>1571000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1496377.5</valUSD>
                <pctVal>0.033341886582</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ENERGY TRANSFER PARTNERS LP / REGENCY ENERGY FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>75886AAQ1</cusip>
                <identifiers>
                    <isin value="US75886AAQ13"/>
                </identifiers>
                <balance>1655000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1755655.31</valUSD>
                <pctVal>0.039119045978</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>OASIS PETROLEUM INC</name>
                <lei>529900FA4V2YNIKZ0M71</lei>
                <title>CORP. NOTE</title>
                <cusip>674215AG3</cusip>
                <identifiers>
                    <isin value="US674215AG39"/>
                </identifiers>
                <balance>929000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>894162.5</valUSD>
                <pctVal>0.019923491673</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>T-MOBILE USA INC</name>
                <lei>549300V2JRLO5DIFGE82</lei>
                <title>CORP. NOTE</title>
                <cusip>87264AAM7</cusip>
                <identifiers>
                    <isin value="US87264AAM71"/>
                </identifiers>
                <balance>1889000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1923002</valUSD>
                <pctVal>0.04284782054</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>STEEL DYNAMICS INC</name>
                <lei>549300HGGKEL4FYTTQ83</lei>
                <title>CORP. NOTE</title>
                <cusip>858119BD1</cusip>
                <identifiers>
                    <isin value="US858119BD11"/>
                </identifiers>
                <balance>1985000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2044765.01</valUSD>
                <pctVal>0.045560911634</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DISH DBS CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>25470XAW5</cusip>
                <identifiers>
                    <isin value="US25470XAW56"/>
                </identifiers>
                <balance>2303000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2353378.13</valUSD>
                <pctVal>0.052437347323</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SPECTRUM BRANDS INC</name>
                <lei>549300VU3EH2E73C1Q04</lei>
                <title>CORP. NOTE</title>
                <cusip>84762LAS4</cusip>
                <identifiers>
                    <isin value="US84762LAS43"/>
                </identifiers>
                <balance>75000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>77437.5</valUSD>
                <pctVal>0.001725441837</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>VIRGIN MEDIA FINANCE PLC</name>
                <lei>2138001LVYC87DDHT482</lei>
                <title>CORP. NOTE</title>
                <cusip>92769VAH2</cusip>
                <identifiers>
                    <isin value="XS1169927792"/>
                </identifiers>
                <balance>3165000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.121699959"/>
                <valUSD>3640070.94</valUSD>
                <pctVal>0.081107095255</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>UNIVISION COMMUNICATIONS INC</name>
                <lei>549300YQDE2JSGTL8V47</lei>
                <title>CORP. NOTE</title>
                <cusip>914906AS1</cusip>
                <identifiers>
                    <isin value="US914906AS13"/>
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                <balance>2003000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1980466.25</valUSD>
                <pctVal>0.044128223718</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>OSHKOSH CORP</name>
                <lei>549300FEKNPCFSA2B506</lei>
                <title>CORP. NOTE</title>
                <cusip>688239AE2</cusip>
                <identifiers>
                    <isin value="US688239AE25"/>
                </identifiers>
                <balance>1865000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1923281.25</valUSD>
                <pctVal>0.042854042715</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BAUSCH HEALTH COS INC</name>
                <lei>B3BS7ACMDUWISF18KY76</lei>
                <title>CORP. NOTE</title>
                <cusip>C96729AD7</cusip>
                <identifiers>
                    <isin value="XS1205619288"/>
                </identifiers>
                <balance>1145000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.121699959"/>
                <valUSD>1300452.16</valUSD>
                <pctVal>0.02897633012</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SABRE GLBL INC</name>
                <lei>F2TJC7HPPHLHU1AQMP98</lei>
                <title>CORP. NOTE</title>
                <cusip>78573NAA0</cusip>
                <identifiers>
                    <isin value="US78573NAA00"/>
                </identifiers>
                <balance>2214000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2268243</valUSD>
                <pctVal>0.050540388936</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ESH HOSPITALITY INC</name>
                <lei>54930042FMK7X7SQ2896</lei>
                <title>CORP. NOTE</title>
                <cusip>26907YAA2</cusip>
                <identifiers>
                    <isin value="US26907YAA29"/>
                </identifiers>
                <balance>1615000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1669506.25</valUSD>
                <pctVal>0.037199495472</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CHEMOURS CO/THE</name>
                <lei>549300M1BOLNXL8DOV14</lei>
                <title>CORP. NOTE</title>
                <cusip>163851AD0</cusip>
                <identifiers>
                    <isin value="US163851AD01"/>
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                <balance>1139000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1147542.5</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>BERRY GLOBAL INC</name>
                <lei>549300AP2Q7ERHX6RI89</lei>
                <title>CORP. NOTE</title>
                <cusip>085790AY9</cusip>
                <identifiers>
                    <isin value="US085790AY96"/>
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                <balance>2010000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2062762.5</valUSD>
                <pctVal>0.045961926934</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.125</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>PLANTRONICS INC</name>
                <lei>5493006O3W5M472F6668</lei>
                <title>CORP. NOTE</title>
                <cusip>727493AB4</cusip>
                <identifiers>
                    <isin value="US727493AB41"/>
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                <balance>6193000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>6053657.5</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-05-31</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CSC HOLDINGS LLC</name>
                <lei>3HG2WD2W22M120IUNG49</lei>
                <title>CORP. NOTE</title>
                <cusip>126307AF4</cusip>
                <identifiers>
                    <isin value="US126307AF48"/>
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                <balance>2060000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2209350</valUSD>
                <pctVal>0.04922815073</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2021-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.75</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>SESI LLC</name>
                <lei>XDZ56K6RXS5J1ESBZS35</lei>
                <title>CORP. NOTE</title>
                <cusip>78412FAP9</cusip>
                <identifiers>
                    <isin value="US78412FAP99"/>
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                <balance>1378000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1175296.2</valUSD>
                <pctVal>0.026187638213</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2021-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>VIDEOTRON LTD</name>
                <lei>549300LW4GNJRBECSD81</lei>
                <title>CORP. NOTE</title>
                <cusip>92658TAQ1</cusip>
                <identifiers>
                    <isin value="US92658TAQ13"/>
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                <balance>3535000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3729425</valUSD>
                <pctVal>0.083098058722</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>PENSKE AUTOMOTIVE GROUP INC</name>
                <lei>549300W7UTQ0M4C7LB15</lei>
                <title>CORP. NOTE</title>
                <cusip>70959WAE3</cusip>
                <identifiers>
                    <isin value="US70959WAE30"/>
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                <balance>4243000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4301341.25</valUSD>
                <pctVal>0.095841344919</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>VTB BANK OJSC VIA VTB CAPITAL SA</name>
                <lei>529900Z143LRJYE8LK88</lei>
                <title>CORP. NOTE</title>
                <cusip>92909MAF7</cusip>
                <identifiers>
                    <isin value="US92909MAF77"/>
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                <balance>10740000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>11634631.26</valUSD>
                <pctVal>0.259239767966</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>LU</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-10-17</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.95</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CINEMARK USA INC</name>
                <lei>54930008H2137JSCPQ09</lei>
                <title>CORP. NOTE</title>
                <cusip>172441AX5</cusip>
                <identifiers>
                    <isin value="US172441AX54"/>
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                <balance>6000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>6066</valUSD>
                <pctVal>0.000135161003</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>WEEKLEY HOMES LLC / WEEKLEY FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>948565AC0</cusip>
                <identifiers>
                    <isin value="US948565AC03"/>
                </identifiers>
                <balance>1745000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1747181.25</valUSD>
                <pctVal>0.03893022922</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>NATIONSTAR MORTGAGE LLC / NATIONSTAR CAPITAL CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>63860UAK6</cusip>
                <identifiers>
                    <isin value="US63860UAK60"/>
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                <balance>3110000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3117775</valUSD>
                <pctVal>0.069469435645</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2021-07-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>STEEL DYNAMICS INC</name>
                <lei>549300HGGKEL4FYTTQ83</lei>
                <title>CORP. NOTE</title>
                <cusip>858119AZ3</cusip>
                <identifiers>
                    <isin value="US858119AZ32"/>
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                <balance>1557000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1587341.34</valUSD>
                <pctVal>0.035368718739</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>BROOKFIELD RESIDENTIAL PROPERTIES INC / BROOKFIELD RESIDENTIAL US CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>11283YAA8</cusip>
                <identifiers>
                    <isin value="US11283YAA82"/>
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                <balance>1335000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1356693.75</valUSD>
                <pctVal>0.030229490312</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-07-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CIT GROUP INC</name>
                <lei>N8O96ZZJQRFYQUJY7K79</lei>
                <title>CORP. NOTE</title>
                <cusip>125581GR3</cusip>
                <identifiers>
                    <isin value="US125581GR39"/>
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                <balance>3180000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3426450</valUSD>
                <pctVal>0.076347250128</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>SPRINT CORP</name>
                <lei>549300ZTTY7CXOLJ6539</lei>
                <title>CORP. NOTE</title>
                <cusip>85207UAE5</cusip>
                <identifiers>
                    <isin value="US85207UAE55"/>
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                <balance>3845000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4066087.5</valUSD>
                <pctVal>0.090599483256</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2021-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>SPRINT CORP</name>
                <lei>549300ZTTY7CXOLJ6539</lei>
                <title>CORP. NOTE</title>
                <cusip>85207UAF2</cusip>
                <identifiers>
                    <isin value="US85207UAF21"/>
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                <balance>6186000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>6825199.38</valUSD>
                <pctVal>0.152077282387</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>ANTERO RESOURCES CORP</name>
                <lei>APVBKPOULHUX7YZLKU17</lei>
                <title>CORP. NOTE</title>
                <cusip>03674PAL7</cusip>
                <identifiers>
                    <isin value="US03674PAL76"/>
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                <balance>2529000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2408082.19</valUSD>
                <pctVal>0.053656248679</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2021-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CHS/COMMUNITY HEALTH SYSTEMS INC</name>
                <lei>5493007X5NC5XI1BB106</lei>
                <title>CORP. NOTE</title>
                <cusip>12543DAV2</cusip>
                <identifiers>
                    <isin value="US12543DAV29"/>
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                <balance>1380000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1117800</valUSD>
                <pctVal>0.024906523134</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>OUTFRONT MEDIA CAPITAL LLC / OUTFRONT MEDIA CAPITAL CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>12505FAD3</cusip>
                <identifiers>
                    <isin value="US12505FAD33"/>
                </identifiers>
                <balance>246000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>252150</valUSD>
                <pctVal>0.005618339424</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>VERTIV INTERMEDIATE HOLDING CORP</name>
                <lei>5493009VQRCPGB137B53</lei>
                <title>CORP. PIK BOND</title>
                <cusip>92536AAA5</cusip>
                <identifiers>
                    <isin value="US92536AAA51"/>
                </identifiers>
                <balance>1485000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1540687.5</valUSD>
                <pctVal>0.03432919025</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-02-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>12</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>STANDARD INDUSTRIES INC/NJ</name>
                <lei>54930064UHXCIUWVI755</lei>
                <title>CORPORATE BONDS</title>
                <cusip>120111BN8</cusip>
                <identifiers>
                    <isin value="US120111BN87"/>
                </identifiers>
                <balance>2834000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2979242.5</valUSD>
                <pctVal>0.066382691223</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>EQUINIX INC</name>
                <lei>549300EVUN2BTLJ3GT74</lei>
                <title>CORPORATE BONDS</title>
                <cusip>29444UAQ9</cusip>
                <identifiers>
                    <isin value="US29444UAQ94"/>
                </identifiers>
                <balance>665000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>705737.9</valUSD>
                <pctVal>0.01572506471</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HCA INC</name>
                <lei>L3CJ6J7LJ2DX62FTXD46</lei>
                <title>CORPORATE BONDS</title>
                <cusip>404119BT5</cusip>
                <identifiers>
                    <isin value="US404119BT57"/>
                </identifiers>
                <balance>1642000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1839585.39</valUSD>
                <pctVal>0.04098915376</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NEWELL BRANDS INC</name>
                <lei>549300LWGYFM1TVO1Z12</lei>
                <title>CORPORATE BONDS</title>
                <cusip>651229AW6</cusip>
                <identifiers>
                    <isin value="US651229AW64"/>
                </identifiers>
                <balance>1730000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1803965.33</valUSD>
                <pctVal>0.040195477031</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.2</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>1248EPBR3</cusip>
                <identifiers>
                    <isin value="US1248EPBR37"/>
                </identifiers>
                <balance>5695000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>6001106.25</valUSD>
                <pctVal>0.133715057833</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DELL INTERNATIONAL LLC / EMC CORP</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>25272KAK9</cusip>
                <identifiers>
                    <isin value="US25272KAK97"/>
                </identifiers>
                <balance>7040000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>8104447.79</valUSD>
                <pctVal>0.180581156172</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.02</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CALPINE CORP</name>
                <lei>43R4VPJBXTU2O15HEF41</lei>
                <title>CORPORATE BONDS</title>
                <cusip>131347CK0</cusip>
                <identifiers>
                    <isin value="US131347CK09"/>
                </identifiers>
                <balance>1105000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1150581.25</valUSD>
                <pctVal>0.025636946252</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>WOLVERINE WORLD WIDE INC</name>
                <lei>549300OVC7PK14LQ8D87</lei>
                <title>CORPORATE BONDS</title>
                <cusip>978097AD5</cusip>
                <identifiers>
                    <isin value="US978097AD55"/>
                </identifiers>
                <balance>1220000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1238300</valUSD>
                <pctVal>0.027591472175</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-09-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SM ENERGY CO</name>
                <lei>84BUTVXV5ODI6BXNMH43</lei>
                <title>CORPORATE BONDS</title>
                <cusip>78454LAN0</cusip>
                <identifiers>
                    <isin value="US78454LAN01"/>
                </identifiers>
                <balance>797000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>781060</valUSD>
                <pctVal>0.017403371765</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NOVELIS CORP</name>
                <lei>549300G5F3W3B52WYL23</lei>
                <title>CORPORATE BONDS</title>
                <cusip>670001AC0</cusip>
                <identifiers>
                    <isin value="US670001AC05"/>
                </identifiers>
                <balance>1425000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1516349.63</valUSD>
                <pctVal>0.033786900285</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-09-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PETROLEOS DE VENEZUELA SA (PDVSA)</name>
                <lei>549300YWR8TN1OFD4P06</lei>
                <title>CORPORATE BONDS</title>
                <cusip>P7807HAR6</cusip>
                <identifiers>
                    <isin value="USP7807HAR68"/>
                </identifiers>
                <balance>1537000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>119117.5</valUSD>
                <pctVal>0.002654144542</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>VE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6</annualizedRt>
                    <isDefault>Y</isDefault>
                    <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PETROLEOS DE VENEZUELA SA (PDVSA)</name>
                <lei>549300YWR8TN1OFD4P06</lei>
                <title>CORPORATE BONDS</title>
                <cusip>716558AF8</cusip>
                <identifiers>
                    <isin value="US716558AF83"/>
                </identifiers>
                <balance>24565000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1903787.5</valUSD>
                <pctVal>0.042419688147</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>VE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6</annualizedRt>
                    <isDefault>Y</isDefault>
                    <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SERVICE CORP INTERNATIONAL/US</name>
                <lei>549300RKVM2ME20JHZ15</lei>
                <title>CORPORATE BONDS</title>
                <cusip>817565CB8</cusip>
                <identifiers>
                    <isin value="US817565CB82"/>
                </identifiers>
                <balance>4990000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>5139700</valUSD>
                <pctVal>0.114521432234</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CSC HOLDINGS LLC</name>
                <lei>3HG2WD2W22M120IUNG49</lei>
                <title>CORPORATE BONDS</title>
                <cusip>126307AH0</cusip>
                <identifiers>
                    <isin value="US126307AH04"/>
                </identifiers>
                <balance>1965000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2117287.5</valUSD>
                <pctVal>0.047176838522</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>COMPASS MINERALS INTERNATIONAL INC</name>
                <lei>2549008X9G8XP7YJGC47</lei>
                <title>CORPORATE BONDS</title>
                <cusip>20451NAE1</cusip>
                <identifiers>
                    <isin value="US20451NAE13"/>
                </identifiers>
                <balance>1019000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1019000</valUSD>
                <pctVal>0.022705087738</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>T-MOBILE USA INC</name>
                <lei>549300V2JRLO5DIFGE82</lei>
                <title>CORPORATE BONDS</title>
                <cusip>87264AAN5</cusip>
                <identifiers>
                    <isin value="US87264AAN54"/>
                </identifiers>
                <balance>3740000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3864654.2</valUSD>
                <pctVal>0.086111199891</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CEMEX SAB DE CV</name>
                <lei>549300RIG2CXWN6IV731</lei>
                <title>CORPORATE BONDS</title>
                <cusip>151290BM4</cusip>
                <identifiers>
                    <isin value="US151290BM45"/>
                </identifiers>
                <balance>1675000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1716875</valUSD>
                <pctVal>0.038254953396</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>MX</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-01-11</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.7</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>WR GRACE  AND  CO/CONNECTICUT</name>
                <lei>549300GJVOEHHLSO6K25</lei>
                <title>CORPORATE BONDS</title>
                <cusip>383909AF5</cusip>
                <identifiers>
                    <isin value="US383909AF54"/>
                </identifiers>
                <balance>2381000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2631005</valUSD>
                <pctVal>0.058623355608</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>STANDARD INDUSTRIES INC/NJ</name>
                <lei>54930064UHXCIUWVI755</lei>
                <title>CORPORATE BONDS</title>
                <cusip>120111BM0</cusip>
                <identifiers>
                    <isin value="US120111BM05"/>
                </identifiers>
                <balance>2416000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2482440</valUSD>
                <pctVal>0.055313069681</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>OWENS CORNING</name>
                <lei>JO5M6676RDJIZ2U8X907</lei>
                <title>CORPORATE BONDS</title>
                <cusip>690742AE1</cusip>
                <identifiers>
                    <isin value="US690742AE13"/>
                </identifiers>
                <balance>2207000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2338146.56</valUSD>
                <pctVal>0.05209796152</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-12-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.2</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PENSKE AUTOMOTIVE GROUP INC</name>
                <lei>549300W7UTQ0M4C7LB15</lei>
                <title>CORPORATE BONDS</title>
                <cusip>70959WAF0</cusip>
                <identifiers>
                    <isin value="US70959WAF05"/>
                </identifiers>
                <balance>1901000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1955653.75</valUSD>
                <pctVal>0.043575358174</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-12-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ALTICE FINANCING SA</name>
                <lei>549300DIYGW8HVDF7Q17</lei>
                <title>CORPORATE BONDS</title>
                <cusip>02154CAD5</cusip>
                <identifiers>
                    <isin value="US02154CAD56"/>
                </identifiers>
                <balance>1050000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1068375</valUSD>
                <pctVal>0.023805248393</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>LU</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NETFLIX INC</name>
                <lei>549300Y7VHGU0I7CE873</lei>
                <title>CORPORATE BONDS</title>
                <cusip>64110LAL0</cusip>
                <identifiers>
                    <isin value="US64110LAL09"/>
                </identifiers>
                <balance>715000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>797225</valUSD>
                <pctVal>0.017763556008</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CEMEX SAB DE CV</name>
                <lei>549300RIG2CXWN6IV731</lei>
                <title>CORPORATE BONDS</title>
                <cusip>151290BS1</cusip>
                <identifiers>
                    <isin value="US151290BS15"/>
                </identifiers>
                <balance>800000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>830008</valUSD>
                <pctVal>0.018494018119</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>MX</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-05-05</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BAUSCH HEALTH COS INC</name>
                <lei>B3BS7ACMDUWISF18KY76</lei>
                <title>CORPORATE BONDS</title>
                <cusip>91831AAC5</cusip>
                <identifiers>
                    <isin value="US91831AAC53"/>
                </identifiers>
                <balance>3185000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3290837.55</valUSD>
                <pctVal>0.073325569484</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>AES CORP/VA</name>
                <lei>2NUNNB7D43COUIRE5295</lei>
                <title>CORPORATE BONDS</title>
                <cusip>00130HBW4</cusip>
                <identifiers>
                    <isin value="US00130HBW43"/>
                </identifiers>
                <balance>4414000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4557455</valUSD>
                <pctVal>0.101548003569</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CNO FINANCIAL GROUP INC</name>
                <lei>11XPYHB76MPM4Y4P2897</lei>
                <title>CORPORATE BONDS</title>
                <cusip>12621EAK9</cusip>
                <identifiers>
                    <isin value="US12621EAK91"/>
                </identifiers>
                <balance>2735000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3029012.5</valUSD>
                <pctVal>0.067491653162</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-05-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>COMMSCOPE TECHNOLOGIES LLC</name>
                <lei>M4TWC4QDOKW45N7T6Y12</lei>
                <title>CORPORATE BONDS</title>
                <cusip>20337YAA5</cusip>
                <identifiers>
                    <isin value="US20337YAA55"/>
                </identifiers>
                <balance>1573000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1574777.49</valUSD>
                <pctVal>0.035088774365</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PETROLEOS DE VENEZUELA SA (PDVSA)</name>
                <lei>549300YWR8TN1OFD4P06</lei>
                <title>CORPORATE BONDS</title>
                <cusip>P7807HAC9</cusip>
                <identifiers>
                    <isin value="XS0294364954"/>
                </identifiers>
                <balance>4617000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>357817.5</valUSD>
                <pctVal>0.007972794634</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>VE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-04-12</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
                    <isDefault>Y</isDefault>
                    <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>METLIFE INC</name>
                <lei>C4BXATY60WC6XEOZDX54</lei>
                <title>CORPORATE BONDS</title>
                <cusip>59156RBS6</cusip>
                <identifiers>
                    <isin value="US59156RBS67"/>
                </identifiers>
                <balance>935000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1379125</valUSD>
                <pctVal>0.030729297475</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2038-04-08</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>9.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ALLY FINANCIAL INC</name>
                <lei>549300JBN1OSM8YNAI90</lei>
                <title>CORPORATE BONDS</title>
                <cusip>36186CBY8</cusip>
                <identifiers>
                    <isin value="US36186CBY84"/>
                </identifiers>
                <balance>9932000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>13786609.2</valUSD>
                <pctVal>0.307189569672</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CENOVUS ENERGY INC</name>
                <lei>549300EIRQ0Z2B9C1W06</lei>
                <title>CORPORATE BONDS</title>
                <cusip>15135UAF6</cusip>
                <identifiers>
                    <isin value="US15135UAF66"/>
                </identifiers>
                <balance>1531000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1950207.7</valUSD>
                <pctVal>0.043454010732</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2039-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HCA INC</name>
                <lei>L3CJ6J7LJ2DX62FTXD46</lei>
                <title>CORPORATE BONDS</title>
                <cusip>404121AD7</cusip>
                <identifiers>
                    <isin value="US404121AD78"/>
                </identifiers>
                <balance>741000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>818805</valUSD>
                <pctVal>0.018244395844</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NEWFIELD EXPLORATION CO</name>
                <lei>T8W3X1PFLPW2YE0UIP44</lei>
                <title>CORPORATE BONDS</title>
                <cusip>651290AP3</cusip>
                <identifiers>
                    <isin value="US651290AP34"/>
                </identifiers>
                <balance>2593000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2755062.5</valUSD>
                <pctVal>0.06138757192</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-01-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MEG ENERGY CORP</name>
                <lei>5493002WXPTG5ZC1T326</lei>
                <title>CORPORATE BONDS</title>
                <cusip>552704AB4</cusip>
                <identifiers>
                    <isin value="US552704AB48"/>
                </identifiers>
                <balance>570000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>571425</valUSD>
                <pctVal>0.012732340295</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-01-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CIT GROUP INC</name>
                <lei>N8O96ZZJQRFYQUJY7K79</lei>
                <title>CORPORATE BONDS</title>
                <cusip>125581GQ5</cusip>
                <identifiers>
                    <isin value="US125581GQ55"/>
                </identifiers>
                <balance>781000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>827860</valUSD>
                <pctVal>0.018446156953</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TECK RESOURCES LTD</name>
                <lei>T8KI5SQ2JRWHL7XY0E11</lei>
                <title>CORPORATE BONDS</title>
                <cusip>878742AY1</cusip>
                <identifiers>
                    <isin value="US878742AY10"/>
                </identifiers>
                <balance>1312000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1335701.9</valUSD>
                <pctVal>0.029761755478</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>WATCO COS LLC / WATCO FINANCE CORP</name>
                <lei>549300UK74AMHGBXZG45</lei>
                <title>CORPORATE BONDS</title>
                <cusip>941130AA4</cusip>
                <identifiers>
                    <isin value="US941130AA48"/>
                </identifiers>
                <balance>3638000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3692570</valUSD>
                <pctVal>0.082276865387</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>AES CORP/VA</name>
                <lei>2NUNNB7D43COUIRE5295</lei>
                <title>CORPORATE BONDS</title>
                <cusip>00130HBT1</cusip>
                <identifiers>
                    <isin value="US00130HBT14"/>
                </identifiers>
                <balance>830000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>844525</valUSD>
                <pctVal>0.018817482063</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CINEMARK USA INC</name>
                <lei>54930008H2137JSCPQ09</lei>
                <title>CORPORATE BONDS</title>
                <cusip>172441AZ0</cusip>
                <identifiers>
                    <isin value="US172441AZ03"/>
                </identifiers>
                <balance>2061000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2094491.25</valUSD>
                <pctVal>0.046668898526</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ALLEGHENY TECHNOLOGIES INC</name>
                <lei>ZW1LRE7C3H17O2ZN9B45</lei>
                <title>CORPORATE BONDS</title>
                <cusip>01741RAF9</cusip>
                <identifiers>
                    <isin value="US01741RAF91"/>
                </identifiers>
                <balance>2845000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3188761.35</valUSD>
                <pctVal>0.071051134669</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MEG ENERGY CORP</name>
                <lei>5493002WXPTG5ZC1T326</lei>
                <title>CORPORATE BONDS</title>
                <cusip>552704AC2</cusip>
                <identifiers>
                    <isin value="US552704AC21"/>
                </identifiers>
                <balance>97000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>97606.25</valUSD>
                <pctVal>0.002174836575</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-03-31</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FREEPORT-MCMORAN INC</name>
                <lei>549300IRDTHJQ1PVET45</lei>
                <title>CORPORATE BONDS</title>
                <cusip>35671DBC8</cusip>
                <identifiers>
                    <isin value="US35671DBC83"/>
                </identifiers>
                <balance>1119000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1158165</valUSD>
                <pctVal>0.025805925358</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2043-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.45</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CALPINE CORP</name>
                <lei>43R4VPJBXTU2O15HEF41</lei>
                <title>CORPORATE BONDS</title>
                <cusip>131347CC8</cusip>
                <identifiers>
                    <isin value="US131347CC82"/>
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                <balance>510000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>520837.5</valUSD>
                <pctVal>0.011605163037</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>AMSTED INDUSTRIES INC</name>
                <lei>N2VLGYMEEBIU3PFSUY86</lei>
                <title>CORPORATE BONDS</title>
                <cusip>032177AJ6</cusip>
                <identifiers>
                    <isin value="US032177AJ66"/>
                </identifiers>
                <balance>1925000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1938917.75</valUSD>
                <pctVal>0.043202451061</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BAUSCH HEALTH COS INC</name>
                <lei>B3BS7ACMDUWISF18KY76</lei>
                <title>CORPORATE BONDS</title>
                <cusip>071734AJ6</cusip>
                <identifiers>
                    <isin value="US071734AJ60"/>
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                <balance>775000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>803675</valUSD>
                <pctVal>0.017907273197</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-01-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SPRINT CAPITAL CORP</name>
                <lei>549300L17W0GQBR1PO80</lei>
                <title>CORPORATE BONDS</title>
                <cusip>852060AD4</cusip>
                <identifiers>
                    <isin value="US852060AD48"/>
                </identifiers>
                <balance>2032000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2189480</valUSD>
                <pctVal>0.04878541266</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LIBERTY MUTUAL INSURANCE</name>
                <lei>CNC20I6IOMGF7KY49D67</lei>
                <title>CORPORATE BONDS</title>
                <cusip>53079QAD9</cusip>
                <identifiers>
                    <isin value="US53079QAD97"/>
                </identifiers>
                <balance>2675000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3809940.31</valUSD>
                <pctVal>0.084892079505</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2097-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.697</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JC PENNEY CORP INC</name>
                <lei>8TDNUQ07MEFMWW1VHP39</lei>
                <title>CORPORATE BONDS</title>
                <cusip>708160BS4</cusip>
                <identifiers>
                    <isin value="US708160BS43"/>
                </identifiers>
                <balance>1361000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>479752.5</valUSD>
                <pctVal>0.010689717964</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2037-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CROWN CORK  AND  SEAL CO INC</name>
                <lei>7HLDMDH0ZXNUH6PT7Z42</lei>
                <title>CORPORATE BONDS</title>
                <cusip>228255AH8</cusip>
                <identifiers>
                    <isin value="US228255AH83"/>
                </identifiers>
                <balance>2765000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3283437.5</valUSD>
                <pctVal>0.073160683533</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SMURFIT KAPPA TREASURY FUNDING DAC</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>832724AB4</cusip>
                <identifiers>
                    <isin value="US832724AB40"/>
                </identifiers>
                <balance>4131000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>5075966.25</valUSD>
                <pctVal>0.113101333721</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>IE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-11-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PULTE HOMES INC</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>745867AM3</cusip>
                <identifiers>
                    <isin value="US745867AM30"/>
                </identifiers>
                <balance>1889000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2427365</valUSD>
                <pctVal>0.054085903138</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2032-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>COLORADO INTERSTATE GAS CO LLC</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>196522AE6</cusip>
                <identifiers>
                    <isin value="US196522AE66"/>
                </identifiers>
                <balance>2495000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2885909.12</valUSD>
                <pctVal>0.064303061604</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2037-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.85</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DRESDNER FUNDING TRUST I</name>
                <lei>549300ZEO4BKB37E3J03</lei>
                <title>CORPORATE BONDS</title>
                <cusip>26156FAA1</cusip>
                <identifiers>
                    <isin value="US26156FAA12"/>
                </identifiers>
                <balance>1223000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1644935</valUSD>
                <pctVal>0.036652005396</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-06-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.151</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DRESDNER FUNDING TRUST I</name>
                <lei>549300ZEO4BKB37E3J03</lei>
                <title>CORPORATE BONDS</title>
                <cusip>U24118AA6</cusip>
                <identifiers>
                    <isin value="XS0097772965"/>
                </identifiers>
                <balance>3250000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4371250</valUSD>
                <pctVal>0.097399033145</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-06-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.151</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NETFLIX INC</name>
                <lei>549300Y7VHGU0I7CE873</lei>
                <title>CORPORATE BONDS</title>
                <cusip>64110LAV8</cusip>
                <identifiers>
                    <isin value="US64110LAV80"/>
                </identifiers>
                <balance>575000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>583984.38</valUSD>
                <pctVal>0.013012185069</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SPRINGLEAF FINANCE CORP</name>
                <lei>5493008I795YYBFWFU90</lei>
                <title>CORPORATE BONDS</title>
                <cusip>85172FAR0</cusip>
                <identifiers>
                    <isin value="US85172FAR01"/>
                </identifiers>
                <balance>1980000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2066724</valUSD>
                <pctVal>0.046050196025</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>OUTFRONT MEDIA CAPITAL LLC / OUTFRONT MEDIA CAPITAL CORP</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>69007TAC8</cusip>
                <identifiers>
                    <isin value="US69007TAC80"/>
                </identifiers>
                <balance>583000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>593202.5</valUSD>
                <pctVal>0.013217580774</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TARGA RESOURCES PARTNERS LP / TARGA RESOURCES PARTNERS FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>87612BBP6</cusip>
                <identifiers>
                    <isin value="US87612BBP67"/>
                </identifiers>
                <balance>575000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>590812.5</valUSD>
                <pctVal>0.013164327428</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SINCLAIR TELEVISION GROUP INC</name>
                <lei>549300CQGEN0CH65UD62</lei>
                <title>CORPORATE BONDS</title>
                <cusip>829259AY6</cusip>
                <identifiers>
                    <isin value="US829259AY67"/>
                </identifiers>
                <balance>1920000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1963200</valUSD>
                <pctVal>0.043743501715</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CENTENE CORP</name>
                <lei>549300Z7JJ4TQSQGT333</lei>
                <title>CORPORATE BONDS</title>
                <cusip>15135BAS0</cusip>
                <identifiers>
                    <isin value="US15135BAS07"/>
                </identifiers>
                <balance>4220000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4436697</valUSD>
                <pctVal>0.098857305841</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>YUM! BRANDS INC</name>
                <lei>549300JE8XHZZ7OHN517</lei>
                <title>CORPORATE BONDS</title>
                <cusip>988498AL5</cusip>
                <identifiers>
                    <isin value="US988498AL59"/>
                </identifiers>
                <balance>935000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>979412.5</valUSD>
                <pctVal>0.021823009562</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SPECTRUM BRANDS INC</name>
                <lei>549300VU3EH2E73C1Q04</lei>
                <title>CORPORATE BONDS</title>
                <cusip>84762LAV7</cusip>
                <identifiers>
                    <isin value="US84762LAV71"/>
                </identifiers>
                <balance>930000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>960225</valUSD>
                <pctVal>0.021395478776</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>WYNN RESORTS FINANCE LLC / WYNN RESORTS CAPITAL CORP</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>983133AA7</cusip>
                <identifiers>
                    <isin value="US983133AA70"/>
                </identifiers>
                <balance>2395000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2568637.5</valUSD>
                <pctVal>0.057233699514</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PETROLEOS MEXICANOS</name>
                <lei>549300CAZKPF4HKMPX17</lei>
                <title>CORPORATE BONDS</title>
                <cusip>71654QCT7</cusip>
                <identifiers>
                    <isin value="US71654QCT76"/>
                </identifiers>
                <balance>1135000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1210295.9</valUSD>
                <pctVal>0.026967492245</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>MX</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-01-23</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.84</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PETROLEOS MEXICANOS</name>
                <lei>549300CAZKPF4HKMPX17</lei>
                <title>CORPORATE BONDS</title>
                <cusip>71654QCW0</cusip>
                <identifiers>
                    <isin value="US71654QCW06"/>
                </identifiers>
                <balance>8180000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>8927161.2</valUSD>
                <pctVal>0.198912638172</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>MX</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-01-23</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.69</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PETROBRAS GLOBAL FINANCE BV</name>
                <lei>549300FNENFFSMO3GT38</lei>
                <title>CORPORATE BONDS</title>
                <cusip>71647NBF5</cusip>
                <identifiers>
                    <isin value="US71647NBF50"/>
                </identifiers>
                <balance>5418000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>5805441.18</valUSD>
                <pctVal>0.129355300638</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NL</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.093</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NETFLIX INC</name>
                <lei>549300Y7VHGU0I7CE873</lei>
                <title>CORPORATE BONDS</title>
                <cusip>64110LAU0</cusip>
                <identifiers>
                    <isin value="US64110LAU08"/>
                </identifiers>
                <balance>1015000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1080954.7</valUSD>
                <pctVal>0.024085545931</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NRG ENERGY INC</name>
                <lei>5E2UPK5SW04M13XY7I38</lei>
                <title>CORPORATE BONDS</title>
                <cusip>629377CH3</cusip>
                <identifiers>
                    <isin value="US629377CH34"/>
                </identifiers>
                <balance>1909000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2064106.25</valUSD>
                <pctVal>0.045991868014</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SERVICE CORP INTERNATIONAL/US</name>
                <lei>549300RKVM2ME20JHZ15</lei>
                <title>CORPORATE BONDS</title>
                <cusip>817565CE2</cusip>
                <identifiers>
                    <isin value="US817565CE22"/>
                </identifiers>
                <balance>2545000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2704062.5</valUSD>
                <pctVal>0.060251203446</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BAUSCH HEALTH COS INC</name>
                <lei>B3BS7ACMDUWISF18KY76</lei>
                <title>CORPORATE BONDS</title>
                <cusip>071734AF4</cusip>
                <identifiers>
                    <isin value="US071734AF49"/>
                </identifiers>
                <balance>1715000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1959387.5</valUSD>
                <pctVal>0.043658552601</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-05-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>1248EPCB7</cusip>
                <identifiers>
                    <isin value="US1248EPCB75"/>
                </identifiers>
                <balance>15831000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>16939170</valUSD>
                <pctVal>0.377434093286</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NRG ENERGY INC</name>
                <lei>5E2UPK5SW04M13XY7I38</lei>
                <title>CORPORATE BONDS</title>
                <cusip>629377CL4</cusip>
                <identifiers>
                    <isin value="US629377CL46"/>
                </identifiers>
                <balance>1265000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1325211.59</valUSD>
                <pctVal>0.029528013172</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.45</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>VISTRA OPERATIONS CO LLC</name>
                <lei>549300ZH5GKBTJZ7NM23</lei>
                <title>CORPORATE BONDS</title>
                <cusip>92840VAE2</cusip>
                <identifiers>
                    <isin value="US92840VAE20"/>
                </identifiers>
                <balance>830000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>846756.12</valUSD>
                <pctVal>0.018867195287</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.3</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SIRIUS XM RADIO INC</name>
                <lei>WP5O65E6BMU84LNO4227</lei>
                <title>CORPORATE BONDS</title>
                <cusip>82967NBC1</cusip>
                <identifiers>
                    <isin value="US82967NBC11"/>
                </identifiers>
                <balance>2335000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2524695.4</valUSD>
                <pctVal>0.056254593296</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-07-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CLEAN HARBORS INC</name>
                <lei>5493000SJVZVZJKHJF48</lei>
                <title>CORPORATE BONDS</title>
                <cusip>184496AP2</cusip>
                <identifiers>
                    <isin value="US184496AP20"/>
                </identifiers>
                <balance>735000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>788361</valUSD>
                <pctVal>0.01756605071</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CSC HOLDINGS LLC</name>
                <lei>3HG2WD2W22M120IUNG49</lei>
                <title>CORPORATE BONDS</title>
                <cusip>126307BA4</cusip>
                <identifiers>
                    <isin value="US126307BA42"/>
                </identifiers>
                <balance>1535000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1638612.5</valUSD>
                <pctVal>0.036511129128</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>IHS MARKIT LTD</name>
                <lei>549300HLPTRASHS0E726</lei>
                <title>CORPORATE BONDS</title>
                <cusip>44962LAF4</cusip>
                <identifiers>
                    <isin value="US44962LAF40"/>
                </identifiers>
                <balance>1085000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1207062.5</valUSD>
                <pctVal>0.026895446484</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NETFLIX INC</name>
                <lei>549300Y7VHGU0I7CE873</lei>
                <title>CORPORATE BONDS</title>
                <cusip>64110LAX4</cusip>
                <identifiers>
                    <isin value="US64110LAX47"/>
                </identifiers>
                <balance>1055000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1201381.25</valUSD>
                <pctVal>0.026768858378</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NETFLIX INC</name>
                <lei>549300Y7VHGU0I7CE873</lei>
                <title>CORPORATE BONDS</title>
                <cusip>64110LAT3</cusip>
                <identifiers>
                    <isin value="US64110LAT35"/>
                </identifiers>
                <balance>2335000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2588487.6</valUSD>
                <pctVal>0.057675994178</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>87470LAD3</cusip>
                <identifiers>
                    <isin value="US87470LAD38"/>
                </identifiers>
                <balance>3425000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3356500</valUSD>
                <pctVal>0.07478864278</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ALLISON TRANSMISSION</name>
                <lei>MWKQ3I0U1GXP2YDSZW75</lei>
                <title>CORPORATE BONDS</title>
                <cusip>019736AE7</cusip>
                <identifiers>
                    <isin value="US019736AE70"/>
                </identifiers>
                <balance>3649000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3785837.5</valUSD>
                <pctVal>0.084355027085</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TARGA RESOURCES PARTNERS LP / TARGA RESOURCES PARTNERS FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>87612BBG6</cusip>
                <identifiers>
                    <isin value="US87612BBG68"/>
                </identifiers>
                <balance>1318000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1344360</valUSD>
                <pctVal>0.029954672965</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NETFLIX INC</name>
                <lei>549300Y7VHGU0I7CE873</lei>
                <title>CORPORATE BONDS</title>
                <cusip>64110LAS5</cusip>
                <identifiers>
                    <isin value="US64110LAS51"/>
                </identifiers>
                <balance>1595000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1656726.5</valUSD>
                <pctVal>0.036914740471</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MATCH GROUP INC</name>
                <lei>549300BIJKT86CPCKK96</lei>
                <title>CORPORATE BONDS</title>
                <cusip>57665RAG1</cusip>
                <identifiers>
                    <isin value="US57665RAG11"/>
                </identifiers>
                <balance>5067000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>5282347.5</valUSD>
                <pctVal>0.117699865996</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ENDEAVOR ENERGY RESOURCES LP / EER FINANCE INC</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>29260FAE0</cusip>
                <identifiers>
                    <isin value="US29260FAE07"/>
                </identifiers>
                <balance>2490000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2614500</valUSD>
                <pctVal>0.058255595575</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-01-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JAMES HARDIE INTERNATIONAL FINANCE DAC</name>
                <lei>635400G32A4Q1LVQ8M88</lei>
                <title>CORPORATE BONDS</title>
                <cusip>47032FAB5</cusip>
                <identifiers>
                    <isin value="US47032FAB58"/>
                </identifiers>
                <balance>1910000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2005500</valUSD>
                <pctVal>0.044686019096</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>IE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SERVICE CORP INTERNATIONAL/US</name>
                <lei>549300RKVM2ME20JHZ15</lei>
                <title>CORPORATE BONDS</title>
                <cusip>817565CD4</cusip>
                <identifiers>
                    <isin value="US817565CD49"/>
                </identifiers>
                <balance>600000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>625500</valUSD>
                <pctVal>0.013937225103</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JELD-WEN INC</name>
                <lei>549300XWE6NM0N1HFW16</lei>
                <title>CORPORATE BONDS</title>
                <cusip>475795AD2</cusip>
                <identifiers>
                    <isin value="US475795AD24"/>
                </identifiers>
                <balance>1050000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1073625</valUSD>
                <pctVal>0.0239222275</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>STANDARD INDUSTRIES INC/NJ</name>
                <lei>54930064UHXCIUWVI755</lei>
                <title>CORPORATE BONDS</title>
                <cusip>853496AD9</cusip>
                <identifiers>
                    <isin value="US853496AD99"/>
                </identifiers>
                <balance>145000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>148625</valUSD>
                <pctVal>0.003311622832</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>IRON MOUNTAIN INC</name>
                <lei>SQL3F6CKNNBM3SQGHX24</lei>
                <title>CORPORATE BONDS</title>
                <cusip>46284VAE1</cusip>
                <identifiers>
                    <isin value="US46284VAE11"/>
                </identifiers>
                <balance>3205000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3333200</valUSD>
                <pctVal>0.074269478359</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>T-MOBILE USA INC</name>
                <lei>549300V2JRLO5DIFGE82</lei>
                <title>CORPORATE BONDS</title>
                <cusip>87264AAV7</cusip>
                <identifiers>
                    <isin value="US87264AAV70"/>
                </identifiers>
                <balance>2963000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3104661.03</valUSD>
                <pctVal>0.069177233644</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>WYNN LAS VEGAS LLC / WYNN LAS VEGAS CAPITAL CORP</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>983130AX3</cusip>
                <identifiers>
                    <isin value="US983130AX35"/>
                </identifiers>
                <balance>3791000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4027937.5</valUSD>
                <pctVal>0.089749435075</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CHENIERE CORPUS CHRISTI HOLDINGS LLC</name>
                <lei>549300I7CIEWU1BBLQ53</lei>
                <title>CORPORATE BONDS</title>
                <cusip>16412XAG0</cusip>
                <identifiers>
                    <isin value="US16412XAG07"/>
                </identifiers>
                <balance>5640000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>6233215.2</valUSD>
                <pctVal>0.138886847896</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-06-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SIRIUS XM RADIO INC</name>
                <lei>WP5O65E6BMU84LNO4227</lei>
                <title>CORPORATE BONDS</title>
                <cusip>82967NBA5</cusip>
                <identifiers>
                    <isin value="US82967NBA54"/>
                </identifiers>
                <balance>4062000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4285410</valUSD>
                <pctVal>0.095486369032</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ASHTEAD CAPITAL INC</name>
                <lei>213800J1134IW58IC398</lei>
                <title>CORPORATE BONDS</title>
                <cusip>045054AF0</cusip>
                <identifiers>
                    <isin value="US045054AF03"/>
                </identifiers>
                <balance>445000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>461131.25</valUSD>
                <pctVal>0.01027480421</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>1248EPBX0</cusip>
                <identifiers>
                    <isin value="US1248EPBX05"/>
                </identifiers>
                <balance>3292000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3454361.44</valUSD>
                <pctVal>0.076969165431</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HILTON WORLDWIDE FINANCE LLC / HILTON WORLDWIDE FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>432891AK5</cusip>
                <identifiers>
                    <isin value="US432891AK52"/>
                </identifiers>
                <balance>3250000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3453125</valUSD>
                <pctVal>0.076941615403</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>AES CORP/VA</name>
                <lei>2NUNNB7D43COUIRE5295</lei>
                <title>CORPORATE BONDS</title>
                <cusip>00130HBY0</cusip>
                <identifiers>
                    <isin value="US00130HBY09"/>
                </identifiers>
                <balance>810000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>864675</valUSD>
                <pctVal>0.019266459019</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-09-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ZIGGO BV</name>
                <lei>213800TQASLF9JXH5J59</lei>
                <title>CORPORATE BONDS</title>
                <cusip>98954NAA7</cusip>
                <identifiers>
                    <isin value="US98954NAA72"/>
                </identifiers>
                <balance>1075000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1142187.5</valUSD>
                <pctVal>0.025449918941</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NL</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>STEEL DYNAMICS INC</name>
                <lei>549300HGGKEL4FYTTQ83</lei>
                <title>CORPORATE BONDS</title>
                <cusip>858119BF6</cusip>
                <identifiers>
                    <isin value="US858119BF68"/>
                </identifiers>
                <balance>877000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>932714.94</valUSD>
                <pctVal>0.020782506916</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>VIRGIN MEDIA SECURED FINANCE PLC</name>
                <lei>213800X3RLP4NOTPY579</lei>
                <title>CORPORATE BONDS</title>
                <cusip>G9372GAT5</cusip>
                <identifiers>
                    <isin value="XS1555173365"/>
                </identifiers>
                <balance>1350000</balance>
                <units>PA</units>
                <currencyConditional curCd="GBP" exchangeRt="1.324599805"/>
                <valUSD>1892260.3</valUSD>
                <pctVal>0.042162842134</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>EQUINIX INC</name>
                <lei>549300EVUN2BTLJ3GT74</lei>
                <title>CORPORATE BONDS</title>
                <cusip>29444UAR7</cusip>
                <identifiers>
                    <isin value="US29444UAR77"/>
                </identifiers>
                <balance>2822000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3064776.66</valUSD>
                <pctVal>0.068288540689</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>T-MOBILE USA INC</name>
                <lei>549300V2JRLO5DIFGE82</lei>
                <title>CORPORATE BONDS</title>
                <cusip>87264AAT2</cusip>
                <identifiers>
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                <fairValLevel>2</fairValLevel>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>AMC ENTERTAINMENT HOLDINGS INC</name>
                <lei>549300ZO77UNR6NRBR11</lei>
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                    <isin value="US00165CAD65"/>
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                <curCd>USD</curCd>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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            <invstOrSec>
                <name>SIX FLAGS ENTERTAINMENT CORP</name>
                <lei>549300JYTDUAA4JQ3717</lei>
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                    <isin value="US83001AAC62"/>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2027-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>VIDEOTRON LTD</name>
                <lei>549300LW4GNJRBECSD81</lei>
                <title>CORPORATE BONDS</title>
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                    <isin value="US92660FAK03"/>
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                <balance>2073000</balance>
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                <curCd>USD</curCd>
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                <assetCat>DBT</assetCat>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2027-04-15</maturityDt>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTL FX</name>
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                    <other otherDesc="Internal ID" value="2309740"/>
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                <fairValLevel>2</fairValLevel>
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            <invstOrSec>
                <name>STATE STREET B AND T CO</name>
                <lei>571474TGEMMWANRLN572</lei>
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                    <other otherDesc="Internal ID" value="2309742"/>
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                <fairValLevel>2</fairValLevel>
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                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>STATE STREET B AND T CO</counterpartyName>
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            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
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                    <other otherDesc="Internal ID" value="2309744"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
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                        <amtCurSold>101715.08</amtCurSold>
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                        <settlementDt>2020-01-15</settlementDt>
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            <invstOrSec>
                <name>WESTPAC BANKING CORPORATION</name>
                <lei>EN5TNI6CI43VEPAMHL14</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2309748"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <fwdDeriv derivCat="FWD">
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                        <amtCurPur>155998.81</amtCurPur>
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                        <settlementDt>2020-01-15</settlementDt>
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            <invstOrSec>
                <name>WESTPAC BANKING CORPORATION</name>
                <lei>EN5TNI6CI43VEPAMHL14</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2309748"/>
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                <units>NC</units>
                <curCd>N/A</curCd>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>WESTPAC BANKING CORPORATION</counterpartyName>
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            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2309752"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <fwdDeriv derivCat="FWD">
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                        <settlementDt>2020-01-15</settlementDt>
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                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2309752"/>
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                <units>NC</units>
                <curCd>N/A</curCd>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
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                        <curPur>USD</curPur>
                        <settlementDt>2020-01-15</settlementDt>
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            <invstOrSec>
                <name>NATWEST MARKETS PLC</name>
                <lei>RR3QWICWWIPCS8A4S074</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2309797"/>
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                <units>NC</units>
                <curCd>N/A</curCd>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

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                <lei>RR3QWICWWIPCS8A4S074</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2309797"/>
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                <units>NC</units>
                <curCd>N/A</curCd>
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                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

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                            <counterpartyName>NATWEST MARKETS PLC</counterpartyName>
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                <name>HSBC BANK USA</name>
                <lei>1IE8VN30JCEQV1H4R804</lei>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2309799"/>
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                <curCd>N/A</curCd>
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                <lei>1IE8VN30JCEQV1H4R804</lei>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2309799"/>
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                <curCd>N/A</curCd>
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                <invCountry>US</invCountry>
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                        <amtCurSold>4465263.94</amtCurSold>
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                        <amtCurPur>4692289.2</amtCurPur>
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                        <settlementDt>2020-01-15</settlementDt>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>STATE STREET B AND T CO</name>
                <lei>571474TGEMMWANRLN572</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2309801"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>100366364.41</valUSD>
                <pctVal>2.23633671234</pctVal>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>STATE STREET B AND T CO</counterpartyName>
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                </derivativeInfo>
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            <invstOrSec>
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                    <other otherDesc="Internal ID" value="2309803"/>
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                <fairValLevel>2</fairValLevel>
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                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>UBS AG</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTL FX</name>
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                    <other otherDesc="Internal ID" value="2309805"/>
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                <units>NC</units>
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                <fairValLevel>2</fairValLevel>
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                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>GOLDMAN SACHS INTL FX</counterpartyName>
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                <name>GOLDMAN SACHS INTL FX</name>
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                    <other otherDesc="Internal ID" value="2309805"/>
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                <fairValLevel>2</fairValLevel>
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                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>GOLDMAN SACHS INTL FX</counterpartyName>
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            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
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                    <other otherDesc="Internal ID" value="2309807"/>
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                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>CITIBANK N.A.</counterpartyName>
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            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>CITIBANK N.A.</counterpartyName>
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            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2309811"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>41588361.09</valUSD>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
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                        <amtCurSold>41588361.09</amtCurSold>
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                        <amtCurPur>40344758.35</amtCurPur>
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                        <settlementDt>2020-01-15</settlementDt>
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                <securityLending>
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            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2309811"/>
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                <curCd>N/A</curCd>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
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                <securityLending>
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            <invstOrSec>
                <name>BARCLAYS BANK PLC WHOLESALE, LONDON </name>
                <lei>N/A</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2309813"/>
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                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>15233562.34</valUSD>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>BARCLAYS BANK PLC WHOLESALE, LONDON </counterpartyName>
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                        <amtCurSold>15233562.34</amtCurSold>
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            <invstOrSec>
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                <lei>N/A</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2309813"/>
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                <assetCat>DFE</assetCat>
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                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>BARCLAYS BANK PLC WHOLESALE, LONDON </counterpartyName>
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            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
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                    <other otherDesc="Internal ID" value="2309874"/>
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                <curCd>N/A</curCd>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
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                <curCd>N/A</curCd>
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                <name>HSBC BANK USA</name>
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                <curCd>N/A</curCd>
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            <invstOrSec>
                <name>HSBC BANK USA</name>
                <lei>1IE8VN30JCEQV1H4R804</lei>
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                <isRestrictedSec>N</isRestrictedSec>

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            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
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                    <other otherDesc="Internal ID" value="2310334"/>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
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                        <unrealizedAppr>-1291.42</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>STATE STREET B AND T CO</name>
                <lei>571474TGEMMWANRLN572</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2310364"/>
                </identifiers>
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                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>112048059.91</valUSD>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>STATE STREET B AND T CO</counterpartyName>
                            <counterpartyLei>571474TGEMMWANRLN572</counterpartyLei>
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                        <amtCurPur>254765.99</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2020-01-15</settlementDt>
                        <unrealizedAppr>-175152.11</unrealizedAppr>
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                </derivativeInfo>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC WHOLESALE, LONDON </name>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2310374"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>35053815.08</valUSD>
                <pctVal>0.781059810543</pctVal>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>BARCLAYS BANK PLC WHOLESALE, LONDON </counterpartyName>
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                        <amtCurSold>35053815.08</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>34567646.19</amtCurPur>
                        <curPur>CAD</curPur>
                        <settlementDt>2020-01-15</settlementDt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC WHOLESALE, LONDON </name>
                <lei>N/A</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2310374"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>35053815.09</valUSD>
                <pctVal>0.781059810766</pctVal>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>BARCLAYS BANK PLC WHOLESALE, LONDON </counterpartyName>
                            <counterpartyLei>N/A</counterpartyLei>
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                        <amtCurSold>34332833.33</amtCurSold>
                        <curSold>CAD</curSold>
                        <amtCurPur>35053815.09</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2020-01-15</settlementDt>
                        <unrealizedAppr>-720981.76</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2310376"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>205861.4</valUSD>
                <pctVal>0.004586949116</pctVal>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
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                        <amtCurSold>205861.4</amtCurSold>
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                        <amtCurPur>203549.42</amtCurPur>
                        <curPur>CAD</curPur>
                        <settlementDt>2020-01-15</settlementDt>
                        <unrealizedAppr>2311.98</unrealizedAppr>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2310376"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>205861.4</valUSD>
                <pctVal>0.004586949116</pctVal>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
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                        <amtCurSold>200918.33</amtCurSold>
                        <curSold>CAD</curSold>
                        <amtCurPur>205861.4</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2020-01-15</settlementDt>
                        <unrealizedAppr>-4943.07</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTL FX</name>
                <lei>N/A</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2311354"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>16886918.48</valUSD>
                <pctVal>0.376269838776</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTL FX</counterpartyName>
                            <counterpartyLei>N/A</counterpartyLei>
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                        <amtCurSold>16886918.48</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>17815943.87</amtCurPur>
                        <curPur>CLP</curPur>
                        <settlementDt>2020-01-15</settlementDt>
                        <unrealizedAppr>-929025.39</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTL FX</name>
                <lei>N/A</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2311354"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>16886918.48</valUSD>
                <pctVal>0.376269838776</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTL FX</counterpartyName>
                            <counterpartyLei>N/A</counterpartyLei>
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                        <amtCurSold>17765214.45</amtCurSold>
                        <curSold>CLP</curSold>
                        <amtCurPur>16886918.48</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2020-01-15</settlementDt>
                        <unrealizedAppr>878295.97</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>TORONTO-DOMINION BANK/THE</name>
                <lei>PT3QB789TSUIDF371261</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2313074"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>56433750.36</valUSD>
                <pctVal>1.257441858007</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>TORONTO-DOMINION BANK/THE</counterpartyName>
                            <counterpartyLei>PT3QB789TSUIDF371261</counterpartyLei>
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                        <amtCurSold>9108754.18</amtCurSold>
                        <curSold>CAD</curSold>
                        <amtCurPur>9531544.78</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2020-01-15</settlementDt>
                        <unrealizedAppr>-422790.6</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2302082"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>69843160.67</valUSD>
                <pctVal>1.556226782053</pctVal>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
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                        <amtCurSold>1749751.43</amtCurSold>
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                        <amtCurPur>2291754.37</amtCurPur>
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                        <settlementDt>2020-02-04</settlementDt>
                        <unrealizedAppr>-542002.94</unrealizedAppr>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2302098"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>955520.62</valUSD>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
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                        <amtCurPur>955520.62</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2020-02-04</settlementDt>
                        <unrealizedAppr>-32685.41</unrealizedAppr>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTL FX</name>
                <lei>N/A</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2302114"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>36011526.54</valUSD>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>GOLDMAN SACHS INTL FX</counterpartyName>
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                        <amtCurSold>306949.8</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>63013.37</amtCurPur>
                        <curPur>BRL</curPur>
                        <settlementDt>2020-02-04</settlementDt>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>NATWEST MARKETS PLC</name>
                <lei>RR3QWICWWIPCS8A4S074</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2309726"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>40833093.41</valUSD>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>NATWEST MARKETS PLC</counterpartyName>
                            <counterpartyLei>RR3QWICWWIPCS8A4S074</counterpartyLei>
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                        <amtCurSold>40833093.41</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>38981417.88</amtCurPur>
                        <curPur>AUD</curPur>
                        <settlementDt>2020-01-15</settlementDt>
                        <unrealizedAppr>1851675.53</unrealizedAppr>
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            </invstOrSec>
            <invstOrSec>
                <name>NATWEST MARKETS PLC</name>
                <lei>RR3QWICWWIPCS8A4S074</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2309726"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>40833093.41</valUSD>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>NATWEST MARKETS PLC</counterpartyName>
                            <counterpartyLei>RR3QWICWWIPCS8A4S074</counterpartyLei>
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                        <amtCurSold>40709342.88</amtCurSold>
                        <curSold>AUD</curSold>
                        <amtCurPur>40833093.41</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2020-01-15</settlementDt>
                        <unrealizedAppr>-123750.53</unrealizedAppr>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>HSBC BANK USA</name>
                <lei>1IE8VN30JCEQV1H4R804</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2309736"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>531599.92</valUSD>
                <pctVal>0.011844968425</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>HSBC BANK USA</counterpartyName>
                            <counterpartyLei>1IE8VN30JCEQV1H4R804</counterpartyLei>
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                        <amtCurSold>531599.92</amtCurSold>
                        <curSold>USD</curSold>
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                        <curPur>AUD</curPur>
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                        <unrealizedAppr>24108.2</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>HSBC BANK USA</name>
                <lei>1IE8VN30JCEQV1H4R804</lei>
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                    <other otherDesc="Internal ID" value="2309736"/>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>HSBC BANK USA</counterpartyName>
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                </derivativeInfo>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTL FX</name>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2309740"/>
                </identifiers>
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                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>15469466.47</valUSD>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>GOLDMAN SACHS INTL FX</counterpartyName>
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                        <amtCurPur>15423742.93</amtCurPur>
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                </derivativeInfo>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTL FX</name>
                <lei>N/A</lei>
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                    <other otherDesc="Internal ID" value="2333788"/>
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                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>GOLDMAN SACHS INTL FX</counterpartyName>
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                        <unrealizedAppr>-43.2</unrealizedAppr>
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            <invstOrSec>
                <name>NATWEST MARKETS PLC</name>
                <lei>RR3QWICWWIPCS8A4S074</lei>
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                    <other otherDesc="Internal ID" value="2333792"/>
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                <curCd>N/A</curCd>
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                <invCountry>GB</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <fwdDeriv derivCat="FWD">
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            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2333794"/>
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                <curCd>N/A</curCd>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
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                        <amtCurSold>16279813.29</amtCurSold>
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                        <unrealizedAppr>-295071.98</unrealizedAppr>
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            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2333798"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>UBS AG</counterpartyName>
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                        <curSold>EUR</curSold>
                        <amtCurPur>16113955.26</amtCurPur>
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                        <settlementDt>2020-03-18</settlementDt>
                        <unrealizedAppr>-161151.21</unrealizedAppr>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC WHOLESALE, LONDON </name>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2333800"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>8918375.81</valUSD>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>BARCLAYS BANK PLC WHOLESALE, LONDON </counterpartyName>
                            <counterpartyLei>N/A</counterpartyLei>
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                        <amtCurSold>7736470.15</amtCurSold>
                        <curSold>EUR</curSold>
                        <amtCurPur>7815299.29</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2020-03-18</settlementDt>
                        <unrealizedAppr>-78829.14</unrealizedAppr>
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                <securityLending>
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            <invstOrSec>
                <name>HSBC BANK USA</name>
                <lei>1IE8VN30JCEQV1H4R804</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2333804"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>14152354.37</valUSD>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>HSBC BANK USA</counterpartyName>
                            <counterpartyLei>1IE8VN30JCEQV1H4R804</counterpartyLei>
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                        <amtCurSold>10885029.32</amtCurSold>
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                        <amtCurPur>10996617.91</amtCurPur>
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                        <settlementDt>2020-03-18</settlementDt>
                        <unrealizedAppr>-111588.59</unrealizedAppr>
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                <securityLending>
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            <invstOrSec>
                <name>WESTPAC BANKING CORPORATION</name>
                <lei>EN5TNI6CI43VEPAMHL14</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2333806"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>9617434.19</valUSD>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>WESTPAC BANKING CORPORATION</counterpartyName>
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                        <amtCurPur>50178.34</amtCurPur>
                        <curPur>EUR</curPur>
                        <settlementDt>2020-03-18</settlementDt>
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            <invstOrSec>
                <name>NATWEST MARKETS PLC</name>
                <lei>RR3QWICWWIPCS8A4S074</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2333861"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>NATWEST MARKETS PLC</counterpartyName>
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                        <settlementDt>2020-03-18</settlementDt>
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            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2333863"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>20102838.83</valUSD>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
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                        <settlementDt>2020-03-18</settlementDt>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTL FX</name>
                <lei>N/A</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2333865"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>17717756.25</valUSD>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>GOLDMAN SACHS INTL FX</counterpartyName>
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                        <settlementDt>2020-03-18</settlementDt>
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            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2333869"/>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>UBS AG</counterpartyName>
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                <name>WESTPAC BANKING CORPORATION</name>
                <lei>EN5TNI6CI43VEPAMHL14</lei>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2333871"/>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                        <settlementDt>2020-03-18</settlementDt>
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            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>CURRENCY FORWARDS</title>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2333930"/>
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                <curCd>N/A</curCd>
                <valUSD>507602.96</valUSD>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
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                        <amtCurSold>499927.63</amtCurSold>
                        <curSold>SEK</curSold>
                        <amtCurPur>507602.96</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2020-03-18</settlementDt>
                        <unrealizedAppr>-7675.33</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HSBC BANK USA</name>
                <lei>1IE8VN30JCEQV1H4R804</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2333932"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>17401543.5</valUSD>
                <pctVal>0.387736576982</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>HSBC BANK USA</counterpartyName>
                            <counterpartyLei>1IE8VN30JCEQV1H4R804</counterpartyLei>
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                        <amtCurSold>1939491.95</amtCurSold>
                        <curSold>NOK</curSold>
                        <amtCurPur>1816020.3</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2020-03-18</settlementDt>
                        <unrealizedAppr>123471.65</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2333934"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>32989049.09</valUSD>
                <pctVal>0.735053242377</pctVal>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
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                        <amtCurSold>31730761.37</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>30359347.13</amtCurPur>
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                        <settlementDt>2020-03-18</settlementDt>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2333974"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>5592077.91</valUSD>
                <pctVal>0.124601196845</pctVal>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
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                        <amtCurSold>2055199.73</amtCurSold>
                        <curSold>CHF</curSold>
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                        <curPur>USD</curPur>
                        <settlementDt>2020-03-18</settlementDt>
                        <unrealizedAppr>-25537.22</unrealizedAppr>
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                </derivativeInfo>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2334337"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>5294143.98</valUSD>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
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                        <amtCurSold>5294143.98</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>5217693.79</amtCurPur>
                        <curPur>CZK</curPur>
                        <settlementDt>2020-03-18</settlementDt>
                        <unrealizedAppr>76450.19</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>BARCLAYS BANK PLC WHOLESALE, LONDON </name>
                <lei>N/A</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2334454"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>21911288.87</valUSD>
                <pctVal>0.488221527229</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>BARCLAYS BANK PLC WHOLESALE, LONDON </counterpartyName>
                            <counterpartyLei>N/A</counterpartyLei>
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                        <amtCurSold>6964713.48</amtCurSold>
                        <curSold>NOK</curSold>
                        <amtCurPur>6840159.29</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2020-03-18</settlementDt>
                        <unrealizedAppr>124554.19</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2334458"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>2942502.47</valUSD>
                <pctVal>0.065564059618</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
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                        <amtCurSold>2942502.47</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>2814814.25</amtCurPur>
                        <curPur>NOK</curPur>
                        <settlementDt>2020-03-18</settlementDt>
                        <unrealizedAppr>127688.22</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>NATWEST MARKETS PLC</name>
                <lei>RR3QWICWWIPCS8A4S074</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2334516"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>17362682.53</valUSD>
                <pctVal>0.386870687155</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>NATWEST MARKETS PLC</counterpartyName>
                            <counterpartyLei>RR3QWICWWIPCS8A4S074</counterpartyLei>
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                        <amtCurSold>17094322.31</amtCurSold>
                        <curSold>SEK</curSold>
                        <amtCurPur>17362682.53</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2020-03-18</settlementDt>
                        <unrealizedAppr>-268360.22</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2334534"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>201913.96</valUSD>
                <pctVal>0.004498993305</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
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                        <amtCurSold>198820.56</amtCurSold>
                        <curSold>SEK</curSold>
                        <amtCurPur>201913.96</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2020-03-18</settlementDt>
                        <unrealizedAppr>-3093.4</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC WHOLESALE, LONDON </name>
                <lei>N/A</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2334539"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>4657189.84</valUSD>
                <pctVal>0.103770268822</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>BARCLAYS BANK PLC WHOLESALE, LONDON </counterpartyName>
                            <counterpartyLei>N/A</counterpartyLei>
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                        <amtCurSold>4634667.3</amtCurSold>
                        <curSold>SEK</curSold>
                        <amtCurPur>4657189.84</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2020-03-18</settlementDt>
                        <unrealizedAppr>-22522.54</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2320676"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>100913.8</valUSD>
                <pctVal>0.002248534527</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
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                        <amtCurSold>100065.95</amtCurSold>
                        <curSold>JPY</curSold>
                        <amtCurPur>100913.8</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2020-02-19</settlementDt>
                        <unrealizedAppr>-847.85</unrealizedAppr>
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                <securityLending>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2320678"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>9173351.89</valUSD>
                <pctVal>0.204398193831</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
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                        <amtCurSold>9162718.8</amtCurSold>
                        <curSold>JPY</curSold>
                        <amtCurPur>9173351.89</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2020-02-19</settlementDt>
                        <unrealizedAppr>-10633.09</unrealizedAppr>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTL FX</name>
                <lei>N/A</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2321694"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>1468128.47</valUSD>
                <pctVal>0.032712449187</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTL FX</counterpartyName>
                            <counterpartyLei>N/A</counterpartyLei>
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                        <amtCurSold>1474643.23</amtCurSold>
                        <curSold>INR</curSold>
                        <amtCurPur>1468128.47</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2020-02-20</settlementDt>
                        <unrealizedAppr>6514.76</unrealizedAppr>
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            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2322394"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>13105369.08</valUSD>
                <pctVal>0.292010357999</pctVal>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
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                        <amtCurSold>5539219.58</amtCurSold>
                        <curSold>JPY</curSold>
                        <amtCurPur>5589356.78</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2020-02-19</settlementDt>
                        <unrealizedAppr>-50137.2</unrealizedAppr>
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            <invstOrSec>
                <name>STATE STREET B AND T CO</name>
                <lei>571474TGEMMWANRLN572</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2322796"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>1296101.59</valUSD>
                <pctVal>0.028879391873</pctVal>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>STATE STREET B AND T CO</counterpartyName>
                            <counterpartyLei>571474TGEMMWANRLN572</counterpartyLei>
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                        <amtCurSold>1293288.24</amtCurSold>
                        <curSold>JPY</curSold>
                        <amtCurPur>1296101.59</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2020-02-19</settlementDt>
                        <unrealizedAppr>-2813.35</unrealizedAppr>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
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                    <other otherDesc="Internal ID" value="2323135"/>
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                <assetCat>DFE</assetCat>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>HSBC BANK USA</counterpartyName>
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                        <unrealizedAppr>19548.96</unrealizedAppr>
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                </derivativeInfo>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTL FX</name>
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                    <other otherDesc="Internal ID" value="2332629"/>
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                <units>NC</units>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTL FX</counterpartyName>
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                        <amtCurSold>45160080.92</amtCurSold>
                        <curSold>USD</curSold>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTL FX</name>
                <lei>N/A</lei>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2332631"/>
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                <curCd>N/A</curCd>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>GOLDMAN SACHS INTL FX</counterpartyName>
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            <invstOrSec>
                <name>HSBC BANK USA</name>
                <lei>1IE8VN30JCEQV1H4R804</lei>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2332633"/>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>HSBC BANK USA</counterpartyName>
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            <invstOrSec>
                <name>STATE STREET B AND T CO</name>
                <lei>571474TGEMMWANRLN572</lei>
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                    <other otherDesc="Internal ID" value="2332735"/>
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                <curCd>N/A</curCd>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>STATE STREET B AND T CO</counterpartyName>
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            <invstOrSec>
                <name>STATE STREET B AND T CO</name>
                <lei>571474TGEMMWANRLN572</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2332737"/>
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                <balance>1</balance>
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                <curCd>N/A</curCd>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>STATE STREET B AND T CO</counterpartyName>
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                        <amtCurSold>47847896.92</amtCurSold>
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                        <amtCurPur>48439516.78</amtCurPur>
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                        <settlementDt>2020-03-18</settlementDt>
                        <unrealizedAppr>-591619.86</unrealizedAppr>
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            <invstOrSec>
                <name>NATWEST MARKETS PLC</name>
                <lei>RR3QWICWWIPCS8A4S074</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2333662"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>27883074.22</valUSD>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>NATWEST MARKETS PLC</counterpartyName>
                            <counterpartyLei>RR3QWICWWIPCS8A4S074</counterpartyLei>
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                        <amtCurSold>27883074.22</amtCurSold>
                        <curSold>USD</curSold>
                        <amtCurPur>26694241.29</amtCurPur>
                        <curPur>NOK</curPur>
                        <settlementDt>2020-03-18</settlementDt>
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            <invstOrSec>
                <name>STATE STREET B AND T CO</name>
                <lei>571474TGEMMWANRLN572</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2333666"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>55682936.84</valUSD>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>STATE STREET B AND T CO</counterpartyName>
                            <counterpartyLei>571474TGEMMWANRLN572</counterpartyLei>
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                        <amtCurSold>20283286.92</amtCurSold>
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                        <amtCurPur>20136628.65</amtCurPur>
                        <curPur>EUR</curPur>
                        <settlementDt>2020-03-18</settlementDt>
                        <unrealizedAppr>146658.27</unrealizedAppr>
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                <securityLending>
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            <invstOrSec>
                <name>STATE STREET B AND T CO</name>
                <lei>571474TGEMMWANRLN572</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2333668"/>
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                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>604068.72</valUSD>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>STATE STREET B AND T CO</counterpartyName>
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                        <amtCurSold>596936.31</amtCurSold>
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                        <amtCurPur>604068.72</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2020-03-18</settlementDt>
                        <unrealizedAppr>-7132.41</unrealizedAppr>
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            <invstOrSec>
                <name>TORONTO-DOMINION BANK/THE</name>
                <lei>PT3QB789TSUIDF371261</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2333670"/>
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                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>9268583.65</valUSD>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>TORONTO-DOMINION BANK/THE</counterpartyName>
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                        <amtCurPur>9268583.65</amtCurPur>
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                        <settlementDt>2020-03-18</settlementDt>
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            <invstOrSec>
                <name>HSBC BANK USA</name>
                <lei>1IE8VN30JCEQV1H4R804</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2333725"/>
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                <balance>1</balance>
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                <curCd>N/A</curCd>
                <valUSD>12188490.03</valUSD>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>HSBC BANK USA</counterpartyName>
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                        <amtCurPur>12151590.21</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2020-03-18</settlementDt>
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            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2333764"/>
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                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>58028833.91</valUSD>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
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                        <amtCurSold>19065478.46</amtCurSold>
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                        <amtCurPur>19316573.59</amtCurPur>
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                        <settlementDt>2020-03-18</settlementDt>
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                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2333766"/>
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                <units>NC</units>
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                <valUSD>14533476.21</valUSD>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
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            <invstOrSec>
                <name>TORONTO-DOMINION BANK/THE</name>
                <lei>PT3QB789TSUIDF371261</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2333776"/>
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                <curCd>N/A</curCd>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>TORONTO-DOMINION BANK/THE</counterpartyName>
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            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>CURRENCY FORWARDS</title>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2333784"/>
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                <assetCat>DFE</assetCat>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
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                        <amtCurSold>20975762.92</amtCurSold>
                        <curSold>EUR</curSold>
                        <amtCurPur>21188129.72</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2020-03-18</settlementDt>
                        <unrealizedAppr>-212366.8</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL (FX)</name>
                <lei>N/A</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2333786"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>10295080.19</valUSD>
                <pctVal>0.229392246305</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>CREDIT SUISSE INTERNATIONAL (FX)</counterpartyName>
                            <counterpartyLei>N/A</counterpartyLei>
                        </counterparties>
                        <amtCurSold>835965.72</amtCurSold>
                        <curSold>EUR</curSold>
                        <amtCurPur>845451.57</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2020-03-18</settlementDt>
                        <unrealizedAppr>-9485.85</unrealizedAppr>
                    </fwdDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2309744"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>101715.08</valUSD>
                <pctVal>0.002266388435</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
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                        <amtCurSold>101410.58</amtCurSold>
                        <curSold>AUD</curSold>
                        <amtCurPur>101715.08</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2020-01-15</settlementDt>
                        <unrealizedAppr>-304.5</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>CURRENCY FORWARDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2309746"/>
                </identifiers>
                <balance>1</balance>
                <units>NC</units>
                <curCd>N/A</curCd>
                <valUSD>96226394.87</valUSD>
                <pctVal>2.144091009064</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <amtCurSold>11623361.69</amtCurSold>
                        <curSold>AUD</curSold>
                        <amtCurPur>11314170.35</amtCurPur>
                        <curPur>USD</curPur>
                        <settlementDt>2020-01-15</settlementDt>
                        <unrealizedAppr>309191.34</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CHARTA LLC</name>
                <lei>N/A</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2285161"/>
                </identifiers>
                <balance>10000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>9977625</valUSD>
                <pctVal>0.222318793957</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-APCP</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-02-14</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>COLLATERALIZED COMMERCIAL PAPER CO LLC</name>
                <lei>N/A</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2290575"/>
                </identifiers>
                <balance>5000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4993035</valUSD>
                <pctVal>0.111253481604</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-APCP</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-01-28</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CAFCO LLC</name>
                <lei>8O46YQAGJ63WE5QHIG35</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2293399"/>
                </identifiers>
                <balance>6000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>5979622.02</valUSD>
                <pctVal>0.133236351918</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-APCP</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-03-09</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC CCP</name>
                <lei>N/A</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2317800"/>
                </identifiers>
                <balance>10000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>9972786.7</valUSD>
                <pctVal>0.222210988239</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-APCP</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-02-21</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ENGIE SA</name>
                <lei>LAXUQCHT4FH58LRZDY46</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2318255"/>
                </identifiers>
                <balance>5000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4988875</valUSD>
                <pctVal>0.111160789587</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>STIV</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>FR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-02-14</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LMA-AMERICAS LLC</name>
                <lei>N/A</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2318514"/>
                </identifiers>
                <balance>10000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>9955106.7</valUSD>
                <pctVal>0.221817047169</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-APCP</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-03-24</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>COLLATERALIZED COMMERCIAL PAPER V CO LLC</name>
                <lei>N/A</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2319216"/>
                </identifiers>
                <balance>10000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>9938377.8</valUSD>
                <pctVal>0.221444298256</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>STIV</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-04-27</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CIGNA CORP</name>
                <lei>549300VIWYMSIGT1U456</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2325812"/>
                </identifiers>
                <balance>5250000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>5237211</valUSD>
                <pctVal>0.116694146474</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>STIV</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-02-11</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ALPINE SECURITIZATION LLC</name>
                <lei>N/A</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2329994"/>
                </identifiers>
                <balance>10000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>9947090</valUSD>
                <pctVal>0.221638421185</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-APCP</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-04-08</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NATIONAL GRID ELECTRICITY TRANSMISSION PLC</name>
                <lei>5XJXCCYG4SDKFJ5WLB02</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2330016"/>
                </identifiers>
                <balance>9000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>8989636.5</valUSD>
                <pctVal>0.200304696237</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>STIV</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-01-21</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>EXPORT DEVELOPMENT CANADA</name>
                <lei>Z6MHCSLXHKYG4B6PHW02</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2330854"/>
                </identifiers>
                <balance>10000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>9932124.2</valUSD>
                <pctVal>0.221304957199</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>STIV</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-05-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>VICTORY RECEIVABLES CORP</name>
                <lei>549300D0F37QF0LP7F94</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2332154"/>
                </identifiers>
                <balance>15000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>14956687.5</valUSD>
                <pctVal>0.333260944021</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-APCP</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-02-24</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CHARIOT FUNDING LLC</name>
                <lei>549300EEWRNP448AMT79</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2333634"/>
                </identifiers>
                <balance>10000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>9968913.9</valUSD>
                <pctVal>0.222124695537</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-APCP</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-03-02</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CAFCO LLC</name>
                <lei>8O46YQAGJ63WE5QHIG35</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2333816"/>
                </identifiers>
                <balance>5000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4984818.6</valUSD>
                <pctVal>0.111070405958</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-APCP</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-03-02</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>METLIFE SHORT TERM FUNDING LLC</name>
                <lei>54930024MDLTV1K1YL10</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2333854"/>
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                <balance>10900000</balance>
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                <curCd>USD</curCd>
                <valUSD>10867232.2</valUSD>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-03-04</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>ERP OPERATING LP</name>
                <lei>DX5HQV5MLU50FEWZ5072</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2334503"/>
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                <balance>14000000</balance>
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                <curCd>USD</curCd>
                <valUSD>13946912</valUSD>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-03-04</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>VENTAS REALTY LP</name>
                <lei>32SXKSJ72K64GM3HOU64</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2334754"/>
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                <balance>10000000</balance>
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                <curCd>USD</curCd>
                <valUSD>9979360</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>STIV</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-02-05</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>REGENCY MARKETS NO. 1 LLC</name>
                <lei>N/A</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2335136"/>
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                <balance>6000000</balance>
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                <curCd>USD</curCd>
                <valUSD>5997364.5</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-APCP</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-01-09</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>CHARIOT FUNDING LLC</name>
                <lei>549300EEWRNP448AMT79</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2335550"/>
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                <balance>10000000</balance>
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                <curCd>USD</curCd>
                <valUSD>9964475</valUSD>
                <pctVal>0.222025789145</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-APCP</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-03-10</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>AMERICAN ELECTRIC POWER CO INC</name>
                <lei>1B4S6S7G0TW5EE83BO58</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2336337"/>
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                <balance>10000000</balance>
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                <curCd>USD</curCd>
                <valUSD>9993131.7</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>STIV</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-01-13</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>ERAC USA FINANCE LLC</name>
                <lei>LTKX5ODQW6Z7BQ2K1V47</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2336365"/>
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                <balance>10000000</balance>
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                <curCd>USD</curCd>
                <valUSD>9991391.1</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>STIV</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-01-16</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>METLIFE SHORT TERM FUNDING LLC</name>
                <lei>54930024MDLTV1K1YL10</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2338376"/>
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                <balance>6000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>5963603.34</valUSD>
                <pctVal>0.132879427939</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-APCP</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>FORTIVE CORP</name>
                <lei>549300MU9YQJYHDQEF63</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2338379"/>
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                <balance>10000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>9995380</valUSD>
                <pctVal>0.222714406158</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>STIV</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-01-09</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>ENBRIDGE US INC</name>
                <lei>5493003FRODSVHJWFS32</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2338383"/>
                </identifiers>
                <balance>10000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>9980582.2</valUSD>
                <pctVal>0.222384685503</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>STIV</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-02-03</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>NUTRIEN LTD</name>
                <lei>5493002QQ7GD21OWF963</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2338566"/>
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                <balance>10000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>9976265.6</valUSD>
                <pctVal>0.222288504167</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>STIV</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-02-10</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>EXPORT DEVELOPMENT CANADA</name>
                <lei>Z6MHCSLXHKYG4B6PHW02</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2338580"/>
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                <balance>10000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>9967080.6</valUSD>
                <pctVal>0.222083846433</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>STIV</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-03-10</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>ENTERGY CORP</name>
                <lei>4XM3TW50JULSLG8BNC79</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2338598"/>
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                <balance>9650000</balance>
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                <curCd>USD</curCd>
                <valUSD>9609976.63</valUSD>
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                <assetCat>STIV</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-03-10</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>SOUTHERN CO/THE</name>
                <lei>549300FC3G3YU2FBZD92</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2338654"/>
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                <balance>4075000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4073117.35</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>STIV</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-01-09</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>GOTHAM FUNDING CORP</name>
                <lei>549300Z2ZR7VTUMRPR17</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2338679"/>
                </identifiers>
                <balance>15000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>14943347.85</valUSD>
                <pctVal>0.332963713478</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-APCP</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-03-11</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>DIAGEO CAPITAL PLC</name>
                <lei>213800L23DJLALFC4O95</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2338734"/>
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                <balance>10000000</balance>
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                <curCd>USD</curCd>
                <valUSD>9986042.5</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>STIV</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-01-27</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>UDR INC</name>
                <lei>P3CH2EG5X6Z1XWU1OO74</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2338755"/>
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                <balance>7000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>6985980.54</valUSD>
                <pctVal>0.155659765551</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>STIV</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-02-04</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>ATLANTIC ASSET SECURITIZATION LLC</name>
                <lei>549300BUNY5BIX4CVW20</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2339157"/>
                </identifiers>
                <balance>10000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>9963158.9</valUSD>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2020-03-11</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>SUNCOR ENERGY INC</name>
                <lei>549300W70ZOQDVLCHY06</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2339225"/>
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                <balance>10000000</balance>
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                <curCd>USD</curCd>
                <valUSD>9957853.6</valUSD>
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                <assetCat>STIV</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-03-11</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>SOUTHERN CO GAS CAPITAL CORP</name>
                <lei>E8CD46SWUD2TSN8PA636</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2339254"/>
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                <balance>10000000</balance>
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                <curCd>USD</curCd>
                <valUSD>9990815.3</valUSD>
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                <assetCat>STIV</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-01-17</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>BEMIS CO INC</name>
                <lei>PTVU09TE3QPJPL7K4E13</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2339315"/>
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                <balance>9000000</balance>
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                <curCd>USD</curCd>
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                <assetCat>STIV</assetCat>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-02-03</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>MARRIOTT INTERNATIONAL INC/MD</name>
                <lei>225YDZ14ZO8E1TXUSU86</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2339365"/>
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                <balance>10000000</balance>
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                <curCd>USD</curCd>
                <valUSD>9966370</valUSD>
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                <assetCat>STIV</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-02-26</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>MID-AMERICA APARTMENTS LP</name>
                <lei>549300FXWGE3QSYCUJ38</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2339370"/>
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                <balance>8000000</balance>
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                <curCd>USD</curCd>
                <valUSD>7986808.88</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>STIV</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-01-09</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>ROGERS COMMUNICATIONS INC</name>
                <lei>54930030NVF3Y2OL0A78</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2339371"/>
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                <balance>8000000</balance>
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                <curCd>USD</curCd>
                <valUSD>7982996.48</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>STIV</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-02-06</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>MATCHPOINT FINANCE PLC</name>
                <lei>635400YCKMVA7GIA6Q33</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2339902"/>
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                <balance>15000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>14896583.4</valUSD>
                <pctVal>0.331921720406</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-APCP</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>IE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>SCHLUMBERGER INVESTMENT SA</name>
                <lei>529900EZ29I5KXPV2J32</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2339946"/>
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                <balance>15000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>14947410</valUSD>
                <pctVal>0.333054225227</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>STIV</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>LU</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-03-12</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>AUTOZONE INC</name>
                <lei>GA3JGKJ41LJKXDN23E90</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2339948"/>
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                <balance>10000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>9994830.6</valUSD>
                <pctVal>0.222702164573</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>STIV</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-01-10</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>GOTHAM FUNDING CORP</name>
                <lei>549300Z2ZR7VTUMRPR17</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2340142"/>
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                <balance>15000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>14944204.2</valUSD>
                <pctVal>0.332982794441</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-APCP</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-03-10</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>VICTORY RECEIVABLES CORP</name>
                <lei>549300D0F37QF0LP7F94</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2340143"/>
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                <balance>15000000</balance>
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                <curCd>USD</curCd>
                <valUSD>14944583.4</valUSD>
                <pctVal>0.332991243675</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-APCP</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-03-10</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>SHEFFIELD RECEIVABLES CO LLC</name>
                <lei>549300MYF6MOTU9T3G29</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2340398"/>
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                <balance>10000000</balance>
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                <curCd>USD</curCd>
                <valUSD>9944716.7</valUSD>
                <pctVal>0.221585539944</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-APCP</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-04-16</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>ENGIE SA</name>
                <lei>LAXUQCHT4FH58LRZDY46</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2343144"/>
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                <balance>15000000</balance>
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                <curCd>USD</curCd>
                <valUSD>14916525</valUSD>
                <pctVal>0.332366053848</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>STIV</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>FR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>CAFCO LLC</name>
                <lei>8O46YQAGJ63WE5QHIG35</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2343373"/>
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                <balance>11000000</balance>
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                <curCd>USD</curCd>
                <valUSD>10958641.21</valUSD>
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                <assetCat>ABS-APCP</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2020-03-16</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
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            <invstOrSec>
                <name>THUNDER BAY FUNDING LLC</name>
                <lei>N/A</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2343374"/>
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                <balance>20000000</balance>
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                <curCd>USD</curCd>
                <valUSD>19922173.4</valUSD>
                <pctVal>0.443900583885</pctVal>
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                <assetCat>ABS-APCP</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-03-18</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>COLLATERALIZED COMMERCIAL PAPER FLEX CO LLC</name>
                <lei>N/A</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2343377"/>
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                <balance>2250000</balance>
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                <curCd>USD</curCd>
                <valUSD>2242550.25</valUSD>
                <pctVal>0.049967909895</pctVal>
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                <assetCat>ABS-APCP</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-03-06</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>AMERICAN EXPRESS CREDIT CORP</name>
                <lei>9ET6B8VCXWW51H8Z3M54</lei>
                <title>DISC. CP</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2343736"/>
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                <balance>17000000</balance>
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                <curCd>USD</curCd>
                <valUSD>16908869.63</valUSD>
                <pctVal>0.376758948479</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>STIV</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-04-03</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>FREDDIE MAC REMICS</name>
                <lei>N/A</lei>
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                <fairValLevel>2</fairValLevel>
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            </invstOrSec>
            <invstOrSec>
                <name>FREDDIE MAC REMICS</name>
                <lei>N/A</lei>
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            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE INTEREST STRIP</name>
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            <invstOrSec>
                <name>FREDDIE MAC STRIPS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
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                <fairValLevel>2</fairValLevel>
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                <name>FREDDIE MAC REMICS</name>
                <lei>N/A</lei>
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                    <isin value="US3137B32J67"/>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2041-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>FREDDIE MAC REMICS</name>
                <lei>N/A</lei>
                <title>FHLMC CMO IO</title>
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                <fairValLevel>2</fairValLevel>
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                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>FREDDIE MAC STRIPS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
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                <cusip>31325VB94</cusip>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2044-03-15</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>FREDDIE MAC REMICS</name>
                <lei>N/A</lei>
                <title>FHLMC CMO IO</title>
                <cusip>3137AMKS5</cusip>
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                    <isin value="US3137AMKS57"/>
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                    <maturityDt>2027-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
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            <invstOrSec>
                <name>FREDDIE MAC REMICS</name>
                <lei>N/A</lei>
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                <cusip>3137B2A26</cusip>
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                    <isin value="US3137B2A269"/>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2037-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>FREDDIE MAC REMICS</name>
                <lei>N/A</lei>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2036-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>FREDDIE MAC REMICS</name>
                <lei>N/A</lei>
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                    <isin value="US312908TB24"/>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2022-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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                <name>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FN30        </title>
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                <fairValLevel>2</fairValLevel>
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                <name>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
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                <name>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FN30        </title>
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                    <couponKind>Fixed</couponKind>
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                <name>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FN30        </title>
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                <name>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FN30        </title>
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                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FN30        </title>
                <cusip>3140JKL87</cusip>
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                    <isin value="US3140JKL870"/>
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                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-01-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                <name>FANNIE MAE REMICS</name>
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                <name>FANNIE MAE GRANTOR TRUST 2000-T6</name>
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                <name>FANNIE MAE INTEREST STRIP</name>
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                <name>FANNIE MAE REMICS</name>
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                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE REMICS</name>
                <lei>N/A</lei>
                <title>FNMA CMO IO</title>
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                    <isin value="US3136ATVW11"/>
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                <curCd>USD</curCd>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2046-09-25</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>FANNIE MAE REMICS</name>
                <lei>N/A</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136B2XF4</cusip>
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                    <isin value="US3136B2XF48"/>
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                <curCd>USD</curCd>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2048-08-25</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>FANNIE MAE REMICS</name>
                <lei>N/A</lei>
                <title>FNMA CMO IO</title>
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                    <isin value="US3136ANRR02"/>
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                <curCd>USD</curCd>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2045-05-25</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>FANNIE MAE REMICS</name>
                <lei>N/A</lei>
                <title>FNMA CMO IO</title>
                <cusip>3136ARGB8</cusip>
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                    <isin value="US3136ARGB82"/>
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                <curCd>USD</curCd>
                <valUSD>9801853.19</valUSD>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2046-02-25</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
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            <invstOrSec>
                <name>FANNIE MAE REMICS</name>
                <lei>N/A</lei>
                <title>FNMA CMO PO</title>
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                    <isin value="US31359W2X80"/>
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                <curCd>USD</curCd>
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                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-09-17</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F022618</cusip>
                <identifiers>
                    <isin value="US01F0226187"/>
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                <balance>98000000</balance>
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                <curCd>USD</curCd>
                <valUSD>96920471.2</valUSD>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-01-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.5</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F022626</cusip>
                <identifiers>
                    <isin value="US01F0226260"/>
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                <balance>98000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>96866875</valUSD>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.5</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F030629</cusip>
                <identifiers>
                    <isin value="US01F0306294"/>
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                <balance>333000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>337578750</valUSD>
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                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3</annualizedRt>
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                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F052615</cusip>
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                    <isin value="US01F0526156"/>
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                <balance>23000000</balance>
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                <curCd>USD</curCd>
                <valUSD>24768125</valUSD>
                <pctVal>0.551876792179</pctVal>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-01-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F032617</cusip>
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                    <isin value="US01F0326177"/>
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                <balance>462000000</balance>
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                <curCd>USD</curCd>
                <valUSD>475318582.2</valUSD>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-01-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</annualizedRt>
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            <invstOrSec>
                <name>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F030611</cusip>
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                    <isin value="US01F0306112"/>
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                <curCd>USD</curCd>
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                <debtSec>
                    <maturityDt>2050-01-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3</annualizedRt>
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            <invstOrSec>
                <name>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F030611</cusip>
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                    <isin value="US01F0306112"/>
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                <curCd>USD</curCd>
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                    <maturityDt>2050-01-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3</annualizedRt>
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            <invstOrSec>
                <name>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F022618</cusip>
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                    <isin value="US01F0226187"/>
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            <invstOrSec>
                <name>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F040610</cusip>
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                    <isin value="US01F0406102"/>
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                    <maturityDt>2050-01-01</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
                <cusip>01F042616</cusip>
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                    <isin value="US01F0426167"/>
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            <invstOrSec>
                <name>FANNIE MAE POOL</name>
                <lei>B1V7KEBTPIMZEU4LTD58</lei>
                <title>FNMA TBA</title>
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                    <isin value="US01F0506190"/>
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                    <maturityDt>2050-01-01</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>FREDDIE MAC GOLD POOL</name>
                <lei>N/A</lei>
                <title>FR30        </title>
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                    <isin value="US3131YCHZ20"/>
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                    <maturityDt>2049-01-01</maturityDt>
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            <invstOrSec>
                <name>FREDDIE MAC GOLD POOL</name>
                <lei>N/A</lei>
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                    <isin value="US31334YDR53"/>
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                <name>GNMA</name>
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                <name>GNMA</name>
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                <name>GNMA</name>
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            <invstOrSec>
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                <name>GNMA</name>
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                <name>GNMA</name>
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                <name>GNMA</name>
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                <name>GNMA</name>
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                <name>GNMA</name>
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                <name>GNMA</name>
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                <name>GNMA</name>
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                <name>GNMA</name>
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                <name>GNMA</name>
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            <invstOrSec>
                <name>GNMA</name>
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                <name>GNMA</name>
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                <name>GNMA</name>
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            <invstOrSec>
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            <invstOrSec>
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                <name>GNMA</name>
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                <name>GNMA</name>
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                <name>GNMA</name>
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                <name>GNMA</name>
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                <name>GNMA</name>
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                <name>GNMA</name>
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                <name>GNMA</name>
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                <name>GNMA</name>
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                <name>GNMA</name>
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                <name>GNMA</name>
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            <invstOrSec>
                <name>GNMA</name>
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                <name>GNMA</name>
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                <name>GNMA</name>
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                <name>GNMA</name>
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                <name>GNMA</name>
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            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38376WK46</cusip>
                <identifiers>
                    <isin value="US38376WK466"/>
                </identifiers>
                <balance>7814380.31</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1180977.13</valUSD>
                <pctVal>0.026314219188</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2040-03-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38378GHA9</cusip>
                <identifiers>
                    <isin value="US38378GHA94"/>
                </identifiers>
                <balance>28395356.3</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4967654</valUSD>
                <pctVal>0.110687948893</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2042-11-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38378YCD9</cusip>
                <identifiers>
                    <isin value="US38378YCD94"/>
                </identifiers>
                <balance>5497478.57</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1095153.26</valUSD>
                <pctVal>0.024401914479</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2040-09-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38378P2J6</cusip>
                <identifiers>
                    <isin value="US38378P2J69"/>
                </identifiers>
                <balance>25434341.8</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4582734.27</valUSD>
                <pctVal>0.102111269559</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2044-01-20</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.335</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38378P3C0</cusip>
                <identifiers>
                    <isin value="US38378P3C08"/>
                </identifiers>
                <balance>10051296.19</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1707654.91</valUSD>
                <pctVal>0.038049513796</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2044-01-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38378P4B1</cusip>
                <identifiers>
                    <isin value="US38378P4B16"/>
                </identifiers>
                <balance>11621263.61</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2237972.98</valUSD>
                <pctVal>0.049865920379</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2044-01-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO IO</title>
                <cusip>38379AYU8</cusip>
                <identifiers>
                    <isin value="US38379AYU86"/>
                </identifiers>
                <balance>14264497.11</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2630515.91</valUSD>
                <pctVal>0.058612457834</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2044-03-20</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>4.335</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA CMO PO</title>
                <cusip>38374DDJ5</cusip>
                <identifiers>
                    <isin value="US38374DDJ54"/>
                </identifiers>
                <balance>8338.39</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>7187.69</valUSD>
                <pctVal>0.000160154202</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2036-07-16</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GINNIE MAE I POOL</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA TBA</title>
                <cusip>21H032613</cusip>
                <identifiers>
                    <isin value="US21H0326130"/>
                </identifiers>
                <balance>4000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4122812.4</valUSD>
                <pctVal>0.091863412433</pctVal>
                <payoffProfile>Short</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-01-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GINNIE MAE I POOL</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA TBA</title>
                <cusip>21H040616</cusip>
                <identifiers>
                    <isin value="US21H0406163"/>
                </identifiers>
                <balance>3000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3105468.6</valUSD>
                <pctVal>0.069195227704</pctVal>
                <payoffProfile>Short</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-01-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GINNIE MAE I POOL</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA TBA</title>
                <cusip>21H050615</cusip>
                <identifiers>
                    <isin value="US21H0506152"/>
                </identifiers>
                <balance>5000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>5265625</valUSD>
                <pctVal>0.117327259686</pctVal>
                <payoffProfile>Short</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-01-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GINNIE MAE I POOL</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA TBA</title>
                <cusip>21H042612</cusip>
                <identifiers>
                    <isin value="US21H0426120"/>
                </identifiers>
                <balance>27000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>28231875</valUSD>
                <pctVal>0.629055151014</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-01-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GINNIE MAE I POOL</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA TBA</title>
                <cusip>21H040616</cusip>
                <identifiers>
                    <isin value="US21H0406163"/>
                </identifiers>
                <balance>57000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>59003903.4</valUSD>
                <pctVal>1.314709326381</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-01-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>RUSSIAN FEDERATION</name>
                <lei>5493004EHVGF71PDBU58</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>78307ADC4</cusip>
                <identifiers>
                    <isin value="US78307ADC45"/>
                </identifiers>
                <balance>325000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>341022.5</valUSD>
                <pctVal>0.007598572898</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>RU</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-04-04</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DOMINICAN REPUBLIC</name>
                <lei>N/A</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P3579EAH0</cusip>
                <identifiers>
                    <isin value="USP3579EAH01"/>
                </identifiers>
                <balance>2690000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2794237.5</valUSD>
                <pctVal>0.06226045888</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>DO</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2021-05-06</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>REPUBLIC OF INDONESIA</name>
                <lei>529900FWX0GRR7WG5W79</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>455780BL9</cusip>
                <identifiers>
                    <isin value="US455780BL97"/>
                </identifiers>
                <balance>5860000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>6042960.92</valUSD>
                <pctVal>0.134647652489</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>ID</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DOMINICAN REPUBLIC</name>
                <lei>N/A</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P3579EAS6</cusip>
                <identifiers>
                    <isin value="USP3579EAS65"/>
                </identifiers>
                <balance>1551000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1665386.25</valUSD>
                <pctVal>0.037107694724</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>DO</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-04-18</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UNITED MEXICAN STATES</name>
                <lei>254900EGTWEU67VP6075</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>91086QBC1</cusip>
                <identifiers>
                    <isin value="US91086QBC15"/>
                </identifiers>
                <balance>5520000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>5818267.68</valUSD>
                <pctVal>0.129641097309</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>MX</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-10-02</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FEDERATIVE REPUBLIC OF BRAZIL</name>
                <lei>254900ZFY40OYEADAP90</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>105756BV1</cusip>
                <identifiers>
                    <isin value="US105756BV13"/>
                </identifiers>
                <balance>9160000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>9743950</valUSD>
                <pctVal>0.217112109582</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>BR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-01-07</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>REPUBLIC OF INDONESIA</name>
                <lei>529900FWX0GRR7WG5W79</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>Y20721BJ7</cusip>
                <identifiers>
                    <isin value="USY20721BJ74"/>
                </identifiers>
                <balance>2705000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3059828.38</valUSD>
                <pctVal>0.068178284427</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>ID</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UNITED MEXICAN STATES</name>
                <lei>254900EGTWEU67VP6075</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>91086QBE7</cusip>
                <identifiers>
                    <isin value="US91086QBE70"/>
                </identifiers>
                <balance>1637000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2009129.39</valUSD>
                <pctVal>0.044766888201</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>MX</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2045-01-21</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.55</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>REPUBLIC OF ECUADOR</name>
                <lei>5299003Y2U5XK0A35H71</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="XS2058866307"/>
                </identifiers>
                <balance>10472000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>9776484.32</valUSD>
                <pctVal>0.217837030672</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>EC</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-03-27</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>9.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ARAB REPUBLIC OF EGYPT</name>
                <lei>529900GFIVH4086NMH82</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>03846JX21</cusip>
                <identifiers>
                    <isin value="US03846JX212"/>
                </identifiers>
                <balance>6810000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>7134973.2</valUSD>
                <pctVal>0.158979580485</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>EG</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2032-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.053</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ARAB REPUBLIC OF EGYPT</name>
                <lei>529900GFIVH4086NMH82</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>03846JW97</cusip>
                <identifiers>
                    <isin value="US03846JW974"/>
                </identifiers>
                <balance>5950000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>6074581.1</valUSD>
                <pctVal>0.135352204953</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>EG</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-11-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.55</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>REPUBLIC OF ANGOLA</name>
                <lei>549300QHR2R3J8JSGK83</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>035198AD2</cusip>
                <identifiers>
                    <isin value="US035198AD29"/>
                </identifiers>
                <balance>15500000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>16514537</valUSD>
                <pctVal>0.367972533403</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>AO</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-11-26</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BOLIVARIAN REPUBLIC OF VENEZUELA</name>
                <lei>529900XM8PJTJK5OJI77</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P97497TZ7</cusip>
                <identifiers>
                    <isin value="XS0217249126"/>
                </identifiers>
                <balance>2093000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>240695</valUSD>
                <pctVal>0.005363102152</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>VE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-04-21</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.65</annualizedRt>
                    <isDefault>Y</isDefault>
                    <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>REPUBLIC OF EL SALVADOR</name>
                <lei>529900AKDMUSFSDOM949</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P01012AS5</cusip>
                <identifiers>
                    <isin value="USP01012AS54"/>
                </identifiers>
                <balance>4150000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4367875</valUSD>
                <pctVal>0.09732383229</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>SV</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-01-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BOLIVARIAN REPUBLIC OF VENEZUELA</name>
                <lei>529900XM8PJTJK5OJI77</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P97475AP5</cusip>
                <identifiers>
                    <isin value="USP97475AP55"/>
                </identifiers>
                <balance>21992000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2529080</valUSD>
                <pctVal>0.05635228979</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>VE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-10-13</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.25</annualizedRt>
                    <isDefault>Y</isDefault>
                    <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BOLIVARIAN REPUBLIC OF VENEZUELA</name>
                <lei>529900XM8PJTJK5OJI77</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P17625AA5</cusip>
                <identifiers>
                    <isin value="USP17625AA59"/>
                </identifiers>
                <balance>13582000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1561930</valUSD>
                <pctVal>0.03480251</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>VE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-05-07</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>9</annualizedRt>
                    <isDefault>Y</isDefault>
                    <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BOLIVARIAN REPUBLIC OF VENEZUELA</name>
                <lei>529900XM8PJTJK5OJI77</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P97475AJ9</cusip>
                <identifiers>
                    <isin value="USP97475AJ95"/>
                </identifiers>
                <balance>2900000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>340750</valUSD>
                <pctVal>0.007592501125</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>VE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2038-03-31</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>REPUBLIC OF INDONESIA</name>
                <lei>529900FWX0GRR7WG5W79</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>455780AX4</cusip>
                <identifiers>
                    <isin value="US455780AX45"/>
                </identifiers>
                <balance>3055000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4154861.1</valUSD>
                <pctVal>0.092577513067</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>ID</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2037-02-17</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PROVINCIA DE BUENOS AIRES/GOVERNMENT BONDS</name>
                <lei>549300L6AYROPOTQ4L07</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>744080AJ1</cusip>
                <identifiers>
                    <isin value="XS1433314587"/>
                </identifiers>
                <balance>12315000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>5213863.13</valUSD>
                <pctVal>0.116173915428</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>AR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PROVINCIA DE BUENOS AIRES/GOVERNMENT BONDS</name>
                <lei>549300L6AYROPOTQ4L07</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P1910WMG1</cusip>
                <identifiers>
                    <isin value="XS1433314314"/>
                </identifiers>
                <balance>12708000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>5380249.5</valUSD>
                <pctVal>0.119881292395</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>AR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ARAB REPUBLIC OF EGYPT</name>
                <lei>529900GFIVH4086NMH82</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>M1487WBQ7</cusip>
                <identifiers>
                    <isin value="XS1558077845"/>
                </identifiers>
                <balance>4405000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4586486</valUSD>
                <pctVal>0.102194864612</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>EG</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-01-31</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PROVINCIA DE CORDOBA</name>
                <lei>5299006CLM2Z97AATT29</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>74408DAC8</cusip>
                <identifiers>
                    <isin value="US74408DAC83"/>
                </identifiers>
                <balance>150000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>111000</valUSD>
                <pctVal>0.00247327256</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>AR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2021-06-10</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DOMINICAN REPUBLIC</name>
                <lei>N/A</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P3579EAG2</cusip>
                <identifiers>
                    <isin value="USP3579EAG28"/>
                </identifiers>
                <balance>5272000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>6398890</valUSD>
                <pctVal>0.142578369848</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>DO</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-04-20</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DOMINICAN REPUBLIC</name>
                <lei>N/A</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P3579ECB1</cusip>
                <identifiers>
                    <isin value="USP3579ECB13"/>
                </identifiers>
                <balance>5839000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>6488647.14</valUSD>
                <pctVal>0.144578314637</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>DO</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-07-19</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GREECE GOVERNMENT</name>
                <lei>2138003EKTMKZ5598902</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="GR0114031561"/>
                </identifiers>
                <balance>9588000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.121699959"/>
                <valUSD>12077384.24</valUSD>
                <pctVal>0.269105072439</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>GR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-04-02</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.45</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>REPUBLIC OF TURKEY</name>
                <lei>5493000PCHOG3B6S3Q85</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>900123CV0</cusip>
                <identifiers>
                    <isin value="US900123CV04"/>
                </identifiers>
                <balance>11628000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>12142515.74</valUSD>
                <pctVal>0.270556315247</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>TR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-08-10</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.35</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DOMINICAN REPUBLIC</name>
                <lei>N/A</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P3579EBV8</cusip>
                <identifiers>
                    <isin value="USP3579EBV85"/>
                </identifiers>
                <balance>2244000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2476815</valUSD>
                <pctVal>0.055187734922</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>DO</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-01-25</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.95</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UNITED MEXICAN STATES</name>
                <lei>254900EGTWEU67VP6075</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>91087BAC4</cusip>
                <identifiers>
                    <isin value="US91087BAC46"/>
                </identifiers>
                <balance>15120000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>16170356.16</valUSD>
                <pctVal>0.360303587211</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>MX</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-03-28</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.15</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>REPUBLIC OF INDONESIA</name>
                <lei>529900FWX0GRR7WG5W79</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>455780BX3</cusip>
                <identifiers>
                    <isin value="US455780BX36"/>
                </identifiers>
                <balance>12420000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>13568688.54</valUSD>
                <pctVal>0.302333919323</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>ID</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-01-08</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.35</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>IVORY COAST</name>
                <lei>254900ICW11T82O6H590</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>V73789AW5</cusip>
                <identifiers>
                    <isin value="XS1631415400"/>
                </identifiers>
                <balance>23275000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>23507750</valUSD>
                <pctVal>0.52379345071</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>CI</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2033-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>REPUBLIC OF SENEGAL</name>
                <lei>549300NP14ZLQGWIUZ97</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>V7691DAX4</cusip>
                <identifiers>
                    <isin value="XS1619155564"/>
                </identifiers>
                <balance>21310000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>22402137.5</valUSD>
                <pctVal>0.499158486218</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>SN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2033-05-23</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GREECE GOVERNMENT</name>
                <lei>2138003EKTMKZ5598902</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>X32332TG7</cusip>
                <identifiers>
                    <isin value="GR0114029540"/>
                </identifiers>
                <balance>17802000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.121699959"/>
                <valUSD>22098143.48</valUSD>
                <pctVal>0.492384972091</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>GR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PROVINCIA DE CORDOBA</name>
                <lei>5299006CLM2Z97AATT29</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>74408DAE4</cusip>
                <identifiers>
                    <isin value="US74408DAE40"/>
                </identifiers>
                <balance>12495000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>8746500</valUSD>
                <pctVal>0.194887193229</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>AR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FEDERATIVE REPUBLIC OF BRAZIL</name>
                <lei>254900ZFY40OYEADAP90</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>105756BZ2</cusip>
                <identifiers>
                    <isin value="US105756BZ27"/>
                </identifiers>
                <balance>16593000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>17828830.05</valUSD>
                <pctVal>0.397257262563</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>BR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-01-13</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>REPUBLIC OF SOUTH AFRICA</name>
                <lei>549300KEVMSOSY8T8R35</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>836205AW4</cusip>
                <identifiers>
                    <isin value="US836205AW44"/>
                </identifiers>
                <balance>6485000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>6708323.95</valUSD>
                <pctVal>0.149473095054</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>ZA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-09-27</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.85</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GREECE GOVERNMENT</name>
                <lei>2138003EKTMKZ5598902</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>X32332UC4</cusip>
                <identifiers>
                    <isin value="GR0114030555"/>
                </identifiers>
                <balance>10000000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.121699959"/>
                <valUSD>12305497.23</valUSD>
                <pctVal>0.274187825581</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>GR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-01-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GREECE GOVERNMENT</name>
                <lei>2138003EKTMKZ5598902</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>X32332UG5</cusip>
                <identifiers>
                    <isin value="GR0128015725"/>
                </identifiers>
                <balance>4000000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.121699959"/>
                <valUSD>5527737.4</valUSD>
                <pctVal>0.123167578665</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>GR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2033-01-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.9</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GREECE GOVERNMENT</name>
                <lei>2138003EKTMKZ5598902</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>X32332UF7</cusip>
                <identifiers>
                    <isin value="GR0133011248"/>
                </identifiers>
                <balance>4000000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.121699959"/>
                <valUSD>5617877.21</valUSD>
                <pctVal>0.125176050004</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>GR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2037-01-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ARGENTINE REPUBLIC</name>
                <lei>549300KPBYGYF7HCHO27</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>040114HP8</cusip>
                <identifiers>
                    <isin value="US040114HP86"/>
                </identifiers>
                <balance>16490000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>8141937.5</valUSD>
                <pctVal>0.181416491948</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>AR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-01-11</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GREECE GOVERNMENT</name>
                <lei>2138003EKTMKZ5598902</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>X32332UY6</cusip>
                <identifiers>
                    <isin value="GR0118017657"/>
                </identifiers>
                <balance>4000000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.121699959"/>
                <valUSD>5090364.15</valUSD>
                <pctVal>0.11342214391</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>GR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>IVORY COAST</name>
                <lei>254900ICW11T82O6H590</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>V73789BE4</cusip>
                <identifiers>
                    <isin value="XS1793329225"/>
                </identifiers>
                <balance>3940000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.121699959"/>
                <valUSD>4492507.94</valUSD>
                <pctVal>0.100100870403</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>CI</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-03-22</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>IVORY COAST</name>
                <lei>254900ICW11T82O6H590</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>221625AQ9</cusip>
                <identifiers>
                    <isin value="XS1793329498"/>
                </identifiers>
                <balance>4445000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.121699959"/>
                <valUSD>5068424.03</valUSD>
                <pctVal>0.112933279975</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>CI</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-03-22</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>RUSSIAN FEDERATION</name>
                <lei>5493004EHVGF71PDBU58</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>X5424XCA4</cusip>
                <identifiers>
                    <isin value="RU000A0ZYYP9"/>
                </identifiers>
                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>222318</valUSD>
                <pctVal>0.004953630712</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>RU</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-03-21</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PROVINCIA DE CORDOBA</name>
                <lei>5299006CLM2Z97AATT29</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P79171AE7</cusip>
                <identifiers>
                    <isin value="USP79171AE79"/>
                </identifiers>
                <balance>20752000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>14820387.36</valUSD>
                <pctVal>0.330223940451</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>AR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-09-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.45</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PROVINCIA DE BUENOS AIRES/GOVERNMENT BONDS</name>
                <lei>549300L6AYROPOTQ4L07</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P1910WNY1</cusip>
                <identifiers>
                    <isin value="XS1566193295"/>
                </identifiers>
                <balance>740000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>307446.92</valUSD>
                <pctVal>0.006850450729</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>AR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DOMINICAN REPUBLIC</name>
                <lei>N/A</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P3579EAY3</cusip>
                <identifiers>
                    <isin value="USP3579EAY34"/>
                </identifiers>
                <balance>2550000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3075937.5</valUSD>
                <pctVal>0.068537223567</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>DO</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2044-04-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.45</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>IVORY COAST</name>
                <lei>254900ICW11T82O6H590</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>V73789AC9</cusip>
                <identifiers>
                    <isin value="XS1089413089"/>
                </identifiers>
                <balance>6251000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>6563550</valUSD>
                <pctVal>0.146247280297</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>CI</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-07-23</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SOCIALIST REPUBLIC OF VIETNAM</name>
                <lei>5493008AE7RS4XK4BZ08</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>92671CAA6</cusip>
                <identifiers>
                    <isin value="US92671CAA62"/>
                </identifiers>
                <balance>600000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>653911.61</valUSD>
                <pctVal>0.014570285062</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>VN</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-11-19</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.8</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DOMINICAN REPUBLIC</name>
                <lei>N/A</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P3579EBD8</cusip>
                <identifiers>
                    <isin value="USP3579EBD87"/>
                </identifiers>
                <balance>7440000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>7998000</valUSD>
                <pctVal>0.178209314749</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>DO</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-01-27</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>IVORY COAST</name>
                <lei>254900ICW11T82O6H590</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>V73789AD7</cusip>
                <identifiers>
                    <isin value="XS1196517434"/>
                </identifiers>
                <balance>3920000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4130543.2</valUSD>
                <pctVal>0.092035668068</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>CI</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-03-03</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ARAB REPUBLIC OF EGYPT</name>
                <lei>529900GFIVH4086NMH82</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>M1487WBP9</cusip>
                <identifiers>
                    <isin value="XS1245432742"/>
                </identifiers>
                <balance>7155000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>7614064.8</valUSD>
                <pctVal>0.16965457245</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>EG</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-06-11</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>REPUBLIC OF INDONESIA</name>
                <lei>529900FWX0GRR7WG5W79</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>Y20721BN8</cusip>
                <identifiers>
                    <isin value="USY20721BN86"/>
                </identifiers>
                <balance>21200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>23557652</valUSD>
                <pctVal>0.524905353839</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>ID</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-01-08</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DOMINICAN REPUBLIC</name>
                <lei>N/A</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P3579EBK2</cusip>
                <identifiers>
                    <isin value="USP3579EBK21"/>
                </identifiers>
                <balance>11318000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>12916667.5</valUSD>
                <pctVal>0.287805759441</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>DO</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-01-29</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PROVINCIA DE BUENOS AIRES/GOVERNMENT BONDS</name>
                <lei>549300L6AYROPOTQ4L07</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>744080AK8</cusip>
                <identifiers>
                    <isin value="XS1380327368"/>
                </identifiers>
                <balance>10597000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4664336.31</valUSD>
                <pctVal>0.103929504571</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>AR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-03-16</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>9.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ARGENTINE REPUBLIC</name>
                <lei>549300KPBYGYF7HCHO27</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>040114GX2</cusip>
                <identifiers>
                    <isin value="US040114GX20"/>
                </identifiers>
                <balance>20405000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>10610600</valUSD>
                <pctVal>0.236422575027</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>AR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-04-22</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>J.P. MORGAN SECURITIES, LLC.</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
                <title>GOVERNMENT FUTURES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <ticker value="TUH0COMDTY"/>
                </identifiers>
                <balance>637</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>137273500</valUSD>
                <pctVal>3.058691718945</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>1</fairValLevel>
                <derivativeInfo>
                    <futrDeriv derivCat="FUT">
                        <counterparties>
                            <counterpartyName>J.P. MORGAN SECURITIES, LLC.</counterpartyName>
                            <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
                        </counterparties>
                        <payOffProf>Long</payOffProf>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>UNITED STATES OF AMERICA</issuerName>
<issueTitle>US TREASURY N/B               00.7500 12/31/2017</issueTitle>
<identifiers>
    <cusip value="912828UE8"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <expDate>2020-01-03</expDate>
                        <notionalAmt>137367940.13</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-94440.13</unrealizedAppr>
                    </futrDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>J.P. MORGAN SECURITIES, LLC.</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
                <title>GOVERNMENT FUTURES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <ticker value="FVH0COMDTY"/>
                </identifiers>
                <balance>1312</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>155615500</valUSD>
                <pctVal>3.467383298229</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>1</fairValLevel>
                <derivativeInfo>
                    <futrDeriv derivCat="FUT">
                        <counterparties>
                            <counterpartyName>J.P. MORGAN SECURITIES, LLC.</counterpartyName>
                            <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
                        </counterparties>
                        <payOffProf>Short</payOffProf>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>UNITED STATES OF AMERICA</issuerName>
<issueTitle>US TREASURY N/B               00.6250 05/31/2017</issueTitle>
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    <cusip value="912828SY7"/>
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                            </otherRefInst>
                        </descRefInstrmnt>
                        <expDate>2020-01-03</expDate>
                        <notionalAmt>156176297.34</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>560797.34</unrealizedAppr>
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                </derivativeInfo>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>J.P. MORGAN SECURITIES, LLC.</name>
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                    <ticker value="DUH0COMDTY"/>
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                <balance>669</balance>
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                <currencyConditional curCd="EUR" exchangeRt="1.121699959"/>
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                <invCountry>DE</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>1</fairValLevel>
                <derivativeInfo>
                    <futrDeriv derivCat="FUT">
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                            <counterpartyName>J.P. MORGAN SECURITIES, LLC.</counterpartyName>
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                        <payOffProf>Short</payOffProf>
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                            <otherRefInst>
<issuerName>FEDERAL REPUBLIC OF GERMANY</issuerName>
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    <cusip value="D206588Q2"/>
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                        <expDate>2020-01-10</expDate>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES, LLC.</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
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                    <ticker value="WNH0COMDTY"/>
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                <curCd>USD</curCd>
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                <fairValLevel>1</fairValLevel>
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                    <futrDeriv derivCat="FUT">
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                            <counterpartyName>J.P. MORGAN SECURITIES, LLC.</counterpartyName>
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<issuerName>UNITED STATES OF AMERICA</issuerName>
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    <cusip value="912810FT0"/>
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                        <unrealizedAppr>-814924.25</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>FANNIE MAE REMICS</name>
                <lei>N/A</lei>
                <title>GOVT CMO</title>
                <cusip>31394V2F6</cusip>
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                    <isin value="US31394V2F65"/>
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                <balance>456980.94</balance>
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                <curCd>USD</curCd>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2036-03-25</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GNMA</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GOVT CMO</title>
                <cusip>38375UJ68</cusip>
                <identifiers>
                    <isin value="US38375UJ688"/>
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                <balance>41750431.96</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>5046040.71</valUSD>
                <pctVal>0.112434540776</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2067-08-20</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>2.711</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>FANNIE MAE REMICS</name>
                <lei>N/A</lei>
                <title>GOVT CMO</title>
                <cusip>31394FG74</cusip>
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                    <isin value="US31394FG741"/>
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                <balance>108774.28</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>125579.91</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2034-11-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>12.735</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>FREDDIE MAC REMICS</name>
                <lei>N/A</lei>
                <title>GOVT CMO</title>
                <cusip>31397PUB4</cusip>
                <identifiers>
                    <isin value="US31397PUB48"/>
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                <balance>161513.76</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>258551.23</valUSD>
                <pctVal>0.005760969934</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2037-04-15</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>18.793</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>FREDDIE MAC REMICS</name>
                <lei>N/A</lei>
                <title>GOVT CMO</title>
                <cusip>31397JKU7</cusip>
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                    <isin value="US31397JKU78"/>
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                <balance>31674.76</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>26007.2</valUSD>
                <pctVal>0.000579485533</pctVal>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGSE</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2035-10-15</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>0</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GREECE GOVERNMENT</name>
                <lei>2138003EKTMKZ5598902</lei>
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                <cusip>X3328ZFK6</cusip>
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                    <isin value="GR0128013704"/>
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                <balance>14152500</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.121699959"/>
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                <pctVal>0.408050688855</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>GR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-02-24</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>3</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>GREECE GOVERNMENT</name>
                <lei>2138003EKTMKZ5598902</lei>
                <title>GOVT FLOATER</title>
                <cusip>X3328ZFL4</cusip>
                <identifiers>
                    <isin value="GR0128014710"/>
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                <balance>4433876</balance>
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                <currencyConditional curCd="EUR" exchangeRt="1.121699959"/>
                <valUSD>5791814.68</valUSD>
                <pctVal>0.129051678579</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>GR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-02-24</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>3</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>GREECE GOVERNMENT</name>
                <lei>2138003EKTMKZ5598902</lei>
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                <cusip>X3328ZFM2</cusip>
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                    <isin value="GR0133006198"/>
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                <balance>12337512</balance>
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                <currencyConditional curCd="EUR" exchangeRt="1.121699959"/>
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                <pctVal>0.361427891016</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>GR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2028-02-24</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>3</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>GREECE GOVERNMENT</name>
                <lei>2138003EKTMKZ5598902</lei>
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                <cusip>X3328ZFN0</cusip>
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                    <isin value="GR0133007204"/>
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                <balance>6993734</balance>
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                <currencyConditional curCd="EUR" exchangeRt="1.121699959"/>
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                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>GR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-02-24</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>3</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>GREECE GOVERNMENT</name>
                <lei>2138003EKTMKZ5598902</lei>
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                <cusip>X3328ZFP5</cusip>
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                    <isin value="GR0133008210"/>
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                <balance>10837000</balance>
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                <currencyConditional curCd="EUR" exchangeRt="1.121699959"/>
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                <invCountry>GR</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2030-02-24</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>3</annualizedRt>
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                <name>GREECE GOVERNMENT</name>
                <lei>2138003EKTMKZ5598902</lei>
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                <cusip>X3328ZFQ3</cusip>
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                    <isin value="GR0133009226"/>
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                <invCountry>GR</invCountry>
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                <fairValLevel>2</fairValLevel>
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                <name>PROVINCIA DE BUENOS AIRES/GOVERNMENT BONDS</name>
                <lei>549300L6AYROPOTQ4L07</lei>
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                    <isin value="ARPBUE3204J9"/>
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                <fairValLevel>2</fairValLevel>
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            <invstOrSec>
                <name>GREECE GOVERNMENT</name>
                <lei>2138003EKTMKZ5598902</lei>
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                <cusip>X3328ZFR1</cusip>
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                    <isin value="GR0133010232"/>
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                <fairValLevel>2</fairValLevel>
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            <invstOrSec>
                <name>GREECE GOVERNMENT</name>
                <lei>2138003EKTMKZ5598902</lei>
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                    <isin value="GR0138012787"/>
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                <fairValLevel>2</fairValLevel>
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            </invstOrSec>
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                <name>GREECE GOVERNMENT</name>
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                    <isin value="GR0138010765"/>
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                <assetCat>DBT</assetCat>
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                <invCountry>GR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2038-02-24</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>3</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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            </invstOrSec>
            <invstOrSec>
                <name>GREECE GOVERNMENT</name>
                <lei>2138003EKTMKZ5598902</lei>
                <title>GOVT FLOATER</title>
                <cusip>X3328ZFV2</cusip>
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                    <isin value="GR0138008744"/>
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                <balance>614000</balance>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>GR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2036-02-24</maturityDt>
                    <couponKind>Variable</couponKind>
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            <invstOrSec>
                <name>GREECE GOVERNMENT</name>
                <lei>2138003EKTMKZ5598902</lei>
                <title>GOVT FLOATER</title>
                <cusip>X3328ZFS9</cusip>
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                    <isin value="GR0138005716"/>
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                <balance>814000</balance>
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                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>GR</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2033-02-24</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>3</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GREECE GOVERNMENT</name>
                <lei>2138003EKTMKZ5598902</lei>
                <title>GOVT FLOATER</title>
                <cusip>X3328ZFG5</cusip>
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                    <isin value="GR0128010676"/>
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                <balance>5181000</balance>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>GR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2023-02-24</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>3</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GREECE GOVERNMENT</name>
                <lei>2138003EKTMKZ5598902</lei>
                <title>GOVT FLOATER</title>
                <cusip>X3328ZFJ9</cusip>
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                    <isin value="GR0128012698"/>
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                <balance>14823487</balance>
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                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>GR</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-02-24</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>3</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2329587"/>
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                <balance>73607000</balance>
                <units>NC</units>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                        <curCd>GBP</curCd>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2276383"/>
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                <balance>15612000</balance>
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                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                        <curCd>GBP</curCd>
                        <unrealizedAppr>-3570647.76</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2332134"/>
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                <fairValLevel>2</fairValLevel>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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<rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Day" resetDtUnit="0"/>
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                        <curCd>GBP</curCd>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2332139"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Inflation Swap Leg</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2335676"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Inflation Swap Leg</title>
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                    <other otherDesc="Internal ID" value="2335680"/>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Inflation Swap Leg</title>
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                    <other otherDesc="Internal ID" value="2003935"/>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Inflation Swap Leg</title>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Inflation Swap Leg</title>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Inflation Swap Leg</title>
                <cusip>99HI779R5</cusip>
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                    <other otherDesc="Internal ID" value="2078029"/>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Inflation Swap Leg</title>
                <cusip>99HK149O0</cusip>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                        <unrealizedAppr>452278.68</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Inflation Swap Leg</title>
                <cusip>99IA889A5</cusip>
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                    <other otherDesc="Internal ID" value="2145797"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Inflation Swap Leg</title>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Inflation Swap Leg</title>
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                    <other otherDesc="Internal ID" value="2147537"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Inflation Swap Leg</title>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                <cusip>99IK699O3</cusip>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2341896"/>
                </identifiers>
                <balance>1503151200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <pctVal>0.167865995764</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
                            <counterpartyLei>AC28XWWI3WIBK2824319</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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                        <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.625"/>
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                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>4318183.16</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1503151200</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>3215610.66</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2341934"/>
                </identifiers>
                <balance>19214300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>104506.58</valUSD>
                <pctVal>0.002328587898</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
                            <counterpartyLei>AC28XWWI3WIBK2824319</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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                        <upfrontRcpt>272.08</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>19214300</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-104778.66</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2342874"/>
                </identifiers>
                <balance>54440800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>100225.51</valUSD>
                <pctVal>0.002233198232</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
                            <counterpartyLei>AC28XWWI3WIBK2824319</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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                        </floatingRecDesc>
                        <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.875"/>
                        <terminationDt>2029-12-31</terminationDt>
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                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>721.88</upfrontRcpt>
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                        <notionalAmt>54440800</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>102444.39</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2343538"/>
                </identifiers>
                <balance>25619200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>43603.88</valUSD>
                <pctVal>0.000971570089</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
                            <counterpartyLei>AC28XWWI3WIBK2824319</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="1383.89">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.8765"/>
                        <terminationDt>2029-12-31</terminationDt>
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                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>339.72</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>25619200</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>44648.05</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2343737"/>
                </identifiers>
                <balance>70039500</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.1217"/>
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                <pctVal>0.023225989242</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
                            <counterpartyLei>AC28XWWI3WIBK2824319</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt=".595"/>
                        <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR-REUTERS" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2050-02-19</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>2643.05</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>70039500</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>-1045021.01</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2285334"/>
                </identifiers>
                <balance>109165000</balance>
                <units>NC</units>
                <currencyConditional curCd="GBP" exchangeRt="1.3246"/>
                <valUSD>208079.34</valUSD>
                <pctVal>0.004636368667</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
                            <counterpartyLei>AC28XWWI3WIBK2824319</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="286595.9" curCd="GBP" fixedOrFloating="Fixed" fixedRt=".712"/>
                        <floatingPmntDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="6 month GBP-LIBOR-BBA" floatingRtSpread="0" pmntAmt="-335800.22">
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<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
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                        </floatingPmntDesc>
                        <terminationDt>2021-09-18</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>498.51</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>109165000</notionalAmt>
                        <curCd>GBP</curCd>
                        <unrealizedAppr>-257782.17</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2286958"/>
                </identifiers>
                <balance>12792500</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.1217"/>
                <valUSD>2083051.69</valUSD>
                <pctVal>0.046414005284</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
                            <counterpartyLei>AC28XWWI3WIBK2824319</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
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                        <terminationDt>2054-06-06</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
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                        <notionalAmt>12792500</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>-2083534.31</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2288357"/>
                </identifiers>
                <balance>85083500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1145394.08</valUSD>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
                            <counterpartyLei>AC28XWWI3WIBK2824319</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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<rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>860516</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2288375"/>
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                <balance>113033500</balance>
                <units>NC</units>
                <currencyConditional curCd="CAD" exchangeRt=".770089715"/>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
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                        <curCd>CAD</curCd>
                        <unrealizedAppr>-1282953.15</unrealizedAppr>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2288379"/>
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                <balance>85083500</balance>
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                <isRestrictedSec>N</isRestrictedSec>

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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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<rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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                        <curCd>USD</curCd>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2288394"/>
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                <balance>113033500</balance>
                <units>NC</units>
                <currencyConditional curCd="CAD" exchangeRt=".770089715"/>
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                <payoffProfile>N/A</payoffProfile>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
                            <counterpartyLei>AC28XWWI3WIBK2824319</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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                        <terminationDt>2024-09-18</terminationDt>
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                        <unrealizedAppr>-1316346.23</unrealizedAppr>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2291274"/>
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                <balance>328445000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                        <curCd>USD</curCd>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2295154"/>
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                <balance>20383200</balance>
                <units>NC</units>
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                <assetCat>DIR</assetCat>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                        <curCd>EUR</curCd>
                        <unrealizedAppr>2650707.61</unrealizedAppr>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2295334"/>
                </identifiers>
                <balance>13211500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>1483319.84</unrealizedAppr>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2297134"/>
                </identifiers>
                <balance>26202000</balance>
                <units>NC</units>
                <currencyConditional curCd="CHF" exchangeRt="1.033271337"/>
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                <pctVal>0.008738689382</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
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                        <pmntCurCd>USD</pmntCurCd>
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                        <curCd>CHF</curCd>
                        <unrealizedAppr>-387241.29</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2302018"/>
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                <balance>1260000</balance>
                <units>NC</units>
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                <pctVal>0.000065093414</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <upfrontRcpt>0</upfrontRcpt>
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                        <curCd>EUR</curCd>
                        <unrealizedAppr>4679.88</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2302020"/>
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                <balance>900000</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.1217"/>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
                            <counterpartyLei>AC28XWWI3WIBK2824319</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
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                        <fixedPmntDesc amount="126.8" curCd="EUR" fixedOrFloating="Fixed" fixedRt="0"/>
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                        <curCd>EUR</curCd>
                        <unrealizedAppr>5361.18</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2302074"/>
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                <balance>1050000</balance>
                <units>NC</units>
                <currencyConditional curCd="GBP" exchangeRt="1.3246"/>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2302078"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2302194"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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<rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2307276"/>
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                <balance>335284100</balance>
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                <payoffProfile>N/A</payoffProfile>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2308118"/>
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                <balance>335284100</balance>
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                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2320374"/>
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                <units>NC</units>
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                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2320379"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                        <unrealizedAppr>-486786.87</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2330368"/>
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                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2332358"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
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                    <other otherDesc="Internal ID" value="2332603"/>
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                <payoffProfile>N/A</payoffProfile>
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                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
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                    <other otherDesc="Internal ID" value="2332655"/>
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                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2334427"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2338675"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2338680"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
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                    <other otherDesc="Internal ID" value="2339363"/>
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                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2339363"/>
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                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2339398"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2339402"/>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2339402"/>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2339475"/>
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                <isRestrictedSec>N</isRestrictedSec>

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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                        <curCd>USD</curCd>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2339894"/>
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                <balance>68985000</balance>
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                <invCountry>US</invCountry>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2339916"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2339934"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2339995"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2340001"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
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                    <other otherDesc="Internal ID" value="2340027"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2340031"/>
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                <isRestrictedSec>N</isRestrictedSec>

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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                        <unrealizedAppr>120931.09</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2340038"/>
                </identifiers>
                <balance>295460000</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.1217"/>
                <valUSD>1174543.55</valUSD>
                <pctVal>0.026170867866</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
                            <counterpartyLei>AC28XWWI3WIBK2824319</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR-REUTERS" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
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                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt=".2"/>
                        <terminationDt>2030-03-18</terminationDt>
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                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>295460000</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>3882731.58</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2340044"/>
                </identifiers>
                <balance>100918000</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.1217"/>
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                <pctVal>0.001700020829</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
                            <counterpartyLei>AC28XWWI3WIBK2824319</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
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                        <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt="0"/>
                        <terminationDt>2025-03-18</terminationDt>
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                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>100918000</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>483550.62</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2340054"/>
                </identifiers>
                <balance>306000</balance>
                <units>NC</units>
                <currencyConditional curCd="GBP" exchangeRt="1.3246"/>
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                <pctVal>0.000064059764</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
                            <counterpartyLei>AC28XWWI3WIBK2824319</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
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                        </floatingPmntDesc>
                        <terminationDt>2030-03-18</terminationDt>
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                        <pmntCurCd>USD</pmntCurCd>
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                        <curCd>GBP</curCd>
                        <unrealizedAppr>-1446.1</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2340074"/>
                </identifiers>
                <balance>247604000</balance>
                <units>NC</units>
                <currencyConditional curCd="NZD" exchangeRt=".6732"/>
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                <pctVal>0.012152456142</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
                            <counterpartyLei>AC28XWWI3WIBK2824319</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="NZD" fixedOrFloating="Floating" floatingRtIndex="3 month NZD-BBR-FRA" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
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                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="0" curCd="NZD" fixedOrFloating="Fixed" fixedRt="1.4"/>
                        <terminationDt>2025-03-18</terminationDt>
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                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>475254.06</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>247604000</notionalAmt>
                        <curCd>NZD</curCd>
                        <unrealizedAppr>70145.85</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2340081"/>
                </identifiers>
                <balance>1000469000</balance>
                <units>NC</units>
                <currencyConditional curCd="NOK" exchangeRt=".113904298"/>
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                <pctVal>0.015859691397</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
                            <counterpartyLei>AC28XWWI3WIBK2824319</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="NOK" fixedOrFloating="Floating" floatingRtIndex="6 month NOK-NIBOR-NIBR" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="0" curCd="NOK" fixedOrFloating="Fixed" fixedRt="2"/>
                        <terminationDt>2030-03-18</terminationDt>
                        <upfrontPmnt>43953.6</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1000469000</notionalAmt>
                        <curCd>NOK</curCd>
                        <unrealizedAppr>755733.52</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2340097"/>
                </identifiers>
                <balance>1518000</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".70175"/>
                <valUSD>10750.56</valUSD>
                <pctVal>0.000239541127</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
                            <counterpartyLei>AC28XWWI3WIBK2824319</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="AUD" fixedOrFloating="Floating" floatingRtIndex="6 month AUD-BBR-BBSW" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
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                        </floatingRecDesc>
                        <fixedPmntDesc amount="0" curCd="AUD" fixedOrFloating="Fixed" fixedRt="1"/>
                        <terminationDt>2025-03-18</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>441.44</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1518000</notionalAmt>
                        <curCd>AUD</curCd>
                        <unrealizedAppr>10309.12</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2340109"/>
                </identifiers>
                <balance>42562000</balance>
                <units>NC</units>
                <currencyConditional curCd="CAD" exchangeRt=".770089715"/>
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                <pctVal>0.005091050861</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
                            <counterpartyLei>AC28XWWI3WIBK2824319</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="CAD" fixedOrFloating="Floating" floatingRtIndex="3 month CAD-BA-CDOR" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="0" curCd="CAD" fixedOrFloating="Fixed" fixedRt="2.1"/>
                        <terminationDt>2030-03-18</terminationDt>
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                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
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                        <notionalAmt>42562000</notionalAmt>
                        <curCd>CAD</curCd>
                        <unrealizedAppr>456481.51</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2340136"/>
                </identifiers>
                <balance>134000</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".70175"/>
                <valUSD>1320.53</valUSD>
                <pctVal>0.000029423699</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
                            <counterpartyLei>AC28XWWI3WIBK2824319</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="0" curCd="AUD" fixedOrFloating="Fixed" fixedRt="1.4"/>
                        <floatingPmntDesc curCd="AUD" fixedOrFloating="Floating" floatingRtIndex="6 month AUD-BBR-BBSW" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
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                        </floatingPmntDesc>
                        <terminationDt>2030-03-18</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
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                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>134000</notionalAmt>
                        <curCd>AUD</curCd>
                        <unrealizedAppr>-1830.06</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2340140"/>
                </identifiers>
                <balance>71509000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <pctVal>0.007538113193</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
                            <counterpartyLei>AC28XWWI3WIBK2824319</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="56600.27">
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<rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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                        <fixedPmntDesc amount="-45384.38" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.632"/>
                        <terminationDt>2024-12-17</terminationDt>
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                        <upfrontRcpt>578.51</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>71509000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>348946.46</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE SECURITIES (USA), LLC</name>
                <lei>1V8Y6QCX6YMJ2OELII46</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2055231"/>
                </identifiers>
                <balance>10000000</balance>
                <units>NC</units>
                <currencyConditional curCd="INR" exchangeRt=".01400989"/>
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                <pctVal>0.000113684085</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CREDIT SUISSE SECURITIES (USA), LLC</counterpartyName>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="INR" fixedOrFloating="Floating" floatingRtIndex="INR-FBIL-MIBOR-OIS-COMPOUND" floatingRtSpread="0" pmntAmt="240.01">
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<rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
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                        <fixedPmntDesc amount="-307.38" curCd="INR" fixedOrFloating="Fixed" fixedRt="6.66"/>
                        <terminationDt>2022-12-20</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0.7</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>10000000</notionalAmt>
                        <curCd>INR</curCd>
                        <unrealizedAppr>-5170.19</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2167098"/>
                </identifiers>
                <balance>22861000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>6248322.8</valUSD>
                <pctVal>0.139223471432</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
                            <counterpartyLei>AC28XWWI3WIBK2824319</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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<rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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                        <terminationDt>2048-11-08</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>779.56</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                    <other otherDesc="Internal ID" value="2181158"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2196714"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2200610"/>
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                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2212917"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2212934"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2216335"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
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                    <other otherDesc="Internal ID" value="2219238"/>
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                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2223756"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2237792"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2238442"/>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2238497"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2256070"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2256077"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2256298"/>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                        <curCd>USD</curCd>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2257437"/>
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                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt=".9035"/>
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                        <curCd>EUR</curCd>
                        <unrealizedAppr>-795827.03</unrealizedAppr>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2261376"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <curCd>EUR</curCd>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2261482"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2261494"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2261516"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2264328"/>
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                <balance>999023000</balance>
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                <currencyConditional curCd="NOK" exchangeRt=".113904298"/>
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                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
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                <isRestrictedSec>N</isRestrictedSec>

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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2266174"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2266178"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2271958"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <curCd>USD</curCd>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2271974"/>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-295796.17</unrealizedAppr>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2271994"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2279240"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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<rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2280816"/>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                    <other otherDesc="Internal ID" value="2284497"/>
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                <invCountry>US</invCountry>
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS CAPITAL, INC.</name>
                <lei>AC28XWWI3WIBK2824319</lei>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2285315"/>
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                <units>NC</units>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>BARCLAYS CAPITAL, INC.</counterpartyName>
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                        <curCd>GBP</curCd>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2329077"/>
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                <balance>409000</balance>
                <units>NC</units>
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                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                        <curCd>USD</curCd>
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                <securityLending>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2331620"/>
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                <balance>1414000</balance>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-20694.62</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2332335"/>
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                <balance>1101000</balance>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
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                    <other otherDesc="Internal ID" value="2334555"/>
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                <isRestrictedSec>N</isRestrictedSec>

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                            <counterpartyName>J.P. MORGAN SECURITIES</counterpartyName>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2334580"/>
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                <balance>1830000</balance>
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                <payoffProfile>N/A</payoffProfile>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                        <curCd>USD</curCd>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
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                    <other otherDesc="Internal ID" value="2334581"/>
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                <balance>782000</balance>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
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                    <other otherDesc="Internal ID" value="2334902"/>
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                <balance>1232000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>J.P. MORGAN SECURITIES</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-18903.94</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2334905"/>
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                <balance>1848000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>99422.4</valUSD>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

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                            <counterpartyName>J.P. MORGAN SECURITIES</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-28355.91</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2334916"/>
                </identifiers>
                <balance>2226000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>113748.6</valUSD>
                <pctVal>0.002534516136</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>J.P. MORGAN SECURITIES</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <notionalAmt>2226000</notionalAmt>
                        <curCd>USD</curCd>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2335004"/>
                </identifiers>
                <balance>3154000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>357032.8</valUSD>
                <pctVal>0.007955310156</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>384393.75</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>3154000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>30427.34</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2335006"/>
                </identifiers>
                <balance>656000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>35292.8</valUSD>
                <pctVal>0.000786384809</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.11 Index" floatingRtSpread="0" pmntAmt="0">
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                        </floatingRecDesc>
                        <fixedPmntDesc amount="-637.78" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
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                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>45096.77</upfrontRcpt>
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                        <notionalAmt>656000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-10441.75</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2335294"/>
                </identifiers>
                <balance>2462000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>278698.4</valUSD>
                <pctVal>0.006209883832</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingPmntDesc>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>299286.87</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>2462000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>22982.09</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2335779"/>
                </identifiers>
                <balance>2570000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>290924</valUSD>
                <pctVal>0.006482291408</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.6 Index" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>307596.87</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
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                        <notionalAmt>2570000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>19171.48</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2338463"/>
                </identifiers>
                <balance>2553000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>130458.3</valUSD>
                <pctVal>0.00290683724</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <terminationDt>2063-05-11</terminationDt>
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                        <notionalAmt>2553000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>25245.18</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2338894"/>
                </identifiers>
                <balance>2094000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>107003.4</valUSD>
                <pctVal>0.002384221379</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.6 Index" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <terminationDt>2063-05-11</terminationDt>
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                        <notionalAmt>2094000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>17277.25</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>MERRILL LYNCH INTERNATIONAL</name>
                <lei>GGDZP1UYGU9STUHRDP48</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2338896"/>
                </identifiers>
                <balance>1910000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>79456</valUSD>
                <pctVal>0.001770417519</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
                            <counterpartyLei>GGDZP1UYGU9STUHRDP48</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.9 Index" floatingRtSpread="0" pmntAmt="0">
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                        <fixedPmntDesc amount="-1856.94" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
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                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>94821.08</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1910000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-17222.02</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2341982"/>
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                <balance>4591000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>519701.2</valUSD>
                <pctVal>0.011579844302</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

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                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                <balance>2292000</balance>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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                        <curCd>USD</curCd>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
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                    <other otherDesc="Internal ID" value="2284614"/>
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                <balance>401000</balance>
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                <assetCat>DCR</assetCat>
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
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                    <other otherDesc="Internal ID" value="2286335"/>
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                <balance>1914000</balance>
                <units>NC</units>
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                <assetCat>DCR</assetCat>
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                <invCountry>US</invCountry>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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                        <curCd>USD</curCd>
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                <securityLending>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2286938"/>
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                <balance>4062000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <pctVal>0.010245551634</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
                <title>Mortgage Backed Swap Basket Index</title>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2289096"/>
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                <balance>46000</balance>
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                <curCd>USD</curCd>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>J.P. MORGAN SECURITIES</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2290355"/>
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                <balance>514000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <payoffProfile>N/A</payoffProfile>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>J.P. MORGAN SECURITIES</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>Mortgage Backed Swap Basket Index</title>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2290816"/>
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                <payoffProfile>N/A</payoffProfile>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2290834"/>
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                <balance>45000</balance>
                <units>NC</units>
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                <payoffProfile>N/A</payoffProfile>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                <securityLending>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2291214"/>
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                <isRestrictedSec>N</isRestrictedSec>

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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2291715"/>
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                <balance>62000</balance>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
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                <name>CITIGROUP GLOBAL MARKETS INC</name>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2300494"/>
                </identifiers>
                <balance>158000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>8500.4</valUSD>
                <pctVal>0.000189403658</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>11408.82</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>158000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-3062.03</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2300594"/>
                </identifiers>
                <balance>34000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>3848.8</valUSD>
                <pctVal>0.000085757941</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="33.06" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.6 Index" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>5397.5</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
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                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>34000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>1581.76</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2300597"/>
                </identifiers>
                <balance>141000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>5865.6</valUSD>
                <pctVal>0.000130695744</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>9097.28</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>141000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-3368.76</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2300614"/>
                </identifiers>
                <balance>3259000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>135574.4</valUSD>
                <pctVal>0.003020832824</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.9 Index" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingRecDesc>
                        <fixedPmntDesc amount="-3168.47" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2058-09-17</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>210269.57</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>3259000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-77863.64</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2302538"/>
                </identifiers>
                <balance>1025000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>52377.5</valUSD>
                <pctVal>0.001167061563</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="597.92" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.6 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>87576.56</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1025000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>35796.98</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2302617"/>
                </identifiers>
                <balance>93000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>4752.3</valUSD>
                <pctVal>0.000105889488</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="54.25" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.6 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingPmntDesc>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>7969.47</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>93000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>3271.42</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2303854"/>
                </identifiers>
                <balance>52000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>2657.2</valUSD>
                <pctVal>0.000059207026</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="30.33" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.6 Index" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>4390.03</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>52000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>1763.16</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2306317"/>
                </identifiers>
                <balance>587000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>29995.7</valUSD>
                <pctVal>0.000668356232</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="342.42" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.6 Index" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>49717.99</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>587000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>20064.71</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2308274"/>
                </identifiers>
                <balance>471000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>24068.1</valUSD>
                <pctVal>0.00053627902</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="274.75" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.6 Index" floatingRtSpread="0" pmntAmt="0">
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                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>40261.51</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>471000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>16468.16</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2308294"/>
                </identifiers>
                <balance>63000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>7131.6</valUSD>
                <pctVal>0.00015890442</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="61.25" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.6 Index" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>9902.81</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>63000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>2832.46</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2310074"/>
                </identifiers>
                <balance>1025000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>52377.5</valUSD>
                <pctVal>0.001167061563</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="597.92" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.6 Index" floatingRtSpread="0" pmntAmt="0">
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                        <terminationDt>2063-05-11</terminationDt>
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                        <curCd>USD</curCd>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2310704"/>
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                <balance>285000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>10921.97</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
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                <title>Mortgage Backed Swap Basket Index</title>
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                    <other otherDesc="Internal ID" value="2310975"/>
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                <balance>151000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>J.P. MORGAN SECURITIES</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>5806.1</unrealizedAppr>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2310978"/>
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                <balance>4611000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>235622.1</valUSD>
                <pctVal>0.005250069139</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>187636.15</unrealizedAppr>
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                <securityLending>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2311061"/>
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                <balance>4679000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <terminationDt>2063-05-11</terminationDt>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>191567.21</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>MERRILL LYNCH INTERNATIONAL</name>
                <lei>GGDZP1UYGU9STUHRDP48</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2311894"/>
                </identifiers>
                <balance>23602000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>981843.2</valUSD>
                <pctVal>0.021877169775</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
                            <counterpartyLei>GGDZP1UYGU9STUHRDP48</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.9 Index" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingRecDesc>
                        <fixedPmntDesc amount="-22946.39" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
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                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>50501.29</upfrontRcpt>
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                        <notionalAmt>23602000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>908395.52</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>MERRILL LYNCH INTERNATIONAL</name>
                <lei>GGDZP1UYGU9STUHRDP48</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2311914"/>
                </identifiers>
                <balance>41204000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>2105524.4</valUSD>
                <pctVal>0.046914736248</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
                            <counterpartyLei>GGDZP1UYGU9STUHRDP48</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.6 Index" floatingRtSpread="0" pmntAmt="0">
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                        <terminationDt>2063-05-11</terminationDt>
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                        <pmntCurCd>USD</pmntCurCd>
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                        <notionalAmt>41204000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>1597644.91</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2312034"/>
                </identifiers>
                <balance>949000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>39478.4</valUSD>
                <pctVal>0.000879647238</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-19813.13</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2312057"/>
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                <balance>949000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <payoffProfile>N/A</payoffProfile>
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                <isRestrictedSec>N</isRestrictedSec>

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                <derivativeInfo>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <unrealizedAppr>-19140.21</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2312377"/>
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                <balance>1072000</balance>
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                <payoffProfile>N/A</payoffProfile>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

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                <derivativeInfo>
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>MERRILL LYNCH INTERNATIONAL</name>
                <lei>GGDZP1UYGU9STUHRDP48</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2312635"/>
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                <balance>4609000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>521738.8</valUSD>
                <pctVal>0.011625245565</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
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                            <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <notionalAmt>4609000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>230264.36</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2312695"/>
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                <balance>1780000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>90958</valUSD>
                <pctVal>0.002026702032</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
                <title>Mortgage Backed Swap Basket Index</title>
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                    <other otherDesc="Internal ID" value="2312714"/>
                </identifiers>
                <balance>1780000</balance>
                <units>NC</units>
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                <valUSD>90958</valUSD>
                <pctVal>0.002026702032</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

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                            <counterpartyName>J.P. MORGAN SECURITIES</counterpartyName>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2313674"/>
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                <balance>1094000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-22891.53</unrealizedAppr>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2313734"/>
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                <balance>57000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <pctVal>0.000064900009</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <terminationDt>2063-05-11</terminationDt>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>2261</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>MERRILL LYNCH INTERNATIONAL</name>
                <lei>GGDZP1UYGU9STUHRDP48</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2313994"/>
                </identifiers>
                <balance>375000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>42450</valUSD>
                <pctVal>0.000945859641</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
                            <counterpartyLei>GGDZP1UYGU9STUHRDP48</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>60820.31</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>375000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>18734.9</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2313996"/>
                </identifiers>
                <balance>277000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>16038.3</valUSD>
                <pctVal>0.000357361147</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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                        <fixedPmntDesc amount="-269.3" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
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                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>22625.18</upfrontRcpt>
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                        <notionalAmt>277000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-6856.18</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2314037"/>
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                <balance>38000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1941.8</valUSD>
                <pctVal>0.000043266673</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>3436.37</upfrontPmnt>
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                        <notionalAmt>38000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>1516.74</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2314643"/>
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                <balance>1568000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>65228.8</valUSD>
                <pctVal>0.001453410822</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
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                            <counterpartyName>J.P. MORGAN SECURITIES</counterpartyName>
                            <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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                        <fixedPmntDesc amount="-1524.44" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-26701.73</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2314650"/>
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                <balance>6220000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>317842</valUSD>
                <pctVal>0.007082071145</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2314715"/>
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                <balance>4479000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>507022.8</valUSD>
                <pctVal>0.011297347556</pctVal>
                <payoffProfile>N/A</payoffProfile>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

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                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>222369.9</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2316105"/>
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                <balance>1673000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>85490.3</valUSD>
                <pctVal>0.00190487219</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>64838.09</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>MERRILL LYNCH INTERNATIONAL</name>
                <lei>GGDZP1UYGU9STUHRDP48</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2316555"/>
                </identifiers>
                <balance>2564000</balance>
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                <curCd>USD</curCd>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
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                            <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
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                        <curCd>USD</curCd>
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                <securityLending>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
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                    <other otherDesc="Internal ID" value="2319014"/>
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                <balance>294000</balance>
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                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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                        <curCd>USD</curCd>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
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                    <other otherDesc="Internal ID" value="2321103"/>
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                <balance>871000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                        <curCd>USD</curCd>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2321114"/>
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                <balance>573000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <pctVal>0.000652415879</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <notionalAmt>573000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>20330.8</unrealizedAppr>
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                <securityLending>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2322495"/>
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                <balance>2209000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>250058.8</valUSD>
                <pctVal>0.00557174386</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>J.P. MORGAN SECURITIES</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <terminationDt>2063-05-11</terminationDt>
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                        <notionalAmt>2209000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>82748.53</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2322908"/>
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                <balance>1998000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>83116.8</valUSD>
                <pctVal>0.001851986493</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>J.P. MORGAN SECURITIES</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <pmntCurCd>USD</pmntCurCd>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-3450.1</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2323241"/>
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                <balance>1241000</balance>
                <units>NC</units>
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                <payoffProfile>N/A</payoffProfile>
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <terminationDt>2063-05-11</terminationDt>
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                        <notionalAmt>1241000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>35852.73</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2323294"/>
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                <balance>1045000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-16812.27</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>MERRILL LYNCH INTERNATIONAL</name>
                <lei>GGDZP1UYGU9STUHRDP48</lei>
                <title>Mortgage Backed Swap Basket Index</title>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2325354"/>
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                <balance>2184000</balance>
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                <curCd>USD</curCd>
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                <pctVal>0.002486695078</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
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                <isRestrictedSec>N</isRestrictedSec>

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                            <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <curCd>USD</curCd>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>MERRILL LYNCH INTERNATIONAL</name>
                <lei>GGDZP1UYGU9STUHRDP48</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2325356"/>
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                <balance>2184000</balance>
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                <payoffProfile>N/A</payoffProfile>
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                            <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
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                        <curCd>USD</curCd>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2325387"/>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                        <unrealizedAppr>-22785.88</unrealizedAppr>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2157794"/>
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                <balance>1810000</balance>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2157834"/>
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                <units>NC</units>
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                <issuerCat>CORP</issuerCat>
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                <isRestrictedSec>N</isRestrictedSec>

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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                <securityLending>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2159294"/>
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                <balance>6238000</balance>
                <units>NC</units>
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                <pctVal>0.007102565885</pctVal>
                <payoffProfile>N/A</payoffProfile>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2159397"/>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                <securityLending>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2162014"/>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2162355"/>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2167377"/>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
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                    <other otherDesc="Internal ID" value="2182694"/>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2182808"/>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2186515"/>
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                <payoffProfile>N/A</payoffProfile>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
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                    <other otherDesc="Internal ID" value="2192094"/>
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                <payoffProfile>N/A</payoffProfile>
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                <isRestrictedSec>N</isRestrictedSec>

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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
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                    <other otherDesc="Internal ID" value="2194334"/>
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            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
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            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
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                            <counterpartyName>CREDIT SUISSE INTERNATIONAL</counterpartyName>
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                        <upfrontRcpt>227964.26</upfrontRcpt>
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                        <curCd>USD</curCd>
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            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
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                    <other otherDesc="Internal ID" value="2200314"/>
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                <balance>2000</balance>
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                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                            <counterpartyName>CREDIT SUISSE INTERNATIONAL</counterpartyName>
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                        <curCd>USD</curCd>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
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                    <other otherDesc="Internal ID" value="2200335"/>
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                <balance>1000</balance>
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                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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                        <curCd>USD</curCd>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
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                    <other otherDesc="Internal ID" value="2206015"/>
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                <balance>194591000</balance>
                <units>NC</units>
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                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>J.P. MORGAN SECURITIES</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2206575"/>
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                <balance>3493000</balance>
                <units>NC</units>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
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                            <counterpartyName>CREDIT SUISSE INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-214084.38</unrealizedAppr>
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                <securityLending>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2206938"/>
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                <balance>25350000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
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                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>J.P. MORGAN SECURITIES</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <curCd>USD</curCd>
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                <securityLending>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2212243"/>
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                <balance>2384000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>121822.4</valUSD>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <terminationDt>2063-05-11</terminationDt>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>173254.45</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2212334"/>
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                <balance>3576000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <isRestrictedSec>N</isRestrictedSec>

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                            <counterpartyName>J.P. MORGAN SECURITIES</counterpartyName>
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                        <unrealizedAppr>260880.44</unrealizedAppr>
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                <securityLending>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
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                    <other otherDesc="Internal ID" value="2214175"/>
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                <securityLending>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2219496"/>
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                <balance>19073000</balance>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
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                    <other otherDesc="Internal ID" value="2220274"/>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2225623"/>
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                <balance>4622000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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                        <pmntCurCd>USD</pmntCurCd>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-354657.1</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>MERRILL LYNCH INTERNATIONAL</name>
                <lei>GGDZP1UYGU9STUHRDP48</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2225655"/>
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                <balance>1597000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <pmntCurCd>USD</pmntCurCd>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-97804.38</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2226494"/>
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                <balance>923000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>76939.68</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2229474"/>
                </identifiers>
                <balance>1263000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>74011.8</valUSD>
                <pctVal>0.001649111298</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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                        <pmntCurCd>USD</pmntCurCd>
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                        <notionalAmt>1263000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-65702.05</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2230839"/>
                </identifiers>
                <balance>1599000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <pctVal>0.002087829743</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.10 Index" floatingRtSpread="0" pmntAmt="0">
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                        <fixedPmntDesc amount="-1554.59" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
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                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>166876.59</upfrontRcpt>
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                        <notionalAmt>1599000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-74729.78</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2230874"/>
                </identifiers>
                <balance>1599000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>93701.4</valUSD>
                <pctVal>0.002087829743</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.10 Index" floatingRtSpread="0" pmntAmt="0">
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                        </floatingRecDesc>
                        <fixedPmntDesc amount="-1554.59" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
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                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
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                        <notionalAmt>1599000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-75551</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>MERRILL LYNCH INTERNATIONAL</name>
                <lei>GGDZP1UYGU9STUHRDP48</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2231016"/>
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                <balance>1599000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>93701.4</valUSD>
                <pctVal>0.002087829743</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

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                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
                            <counterpartyLei>GGDZP1UYGU9STUHRDP48</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.10 Index" floatingRtSpread="0" pmntAmt="0">
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                        <fixedPmntDesc amount="-1554.59" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
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                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>168518.46</upfrontRcpt>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-76371.65</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2233894"/>
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                <balance>50000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <pctVal>0.000056929832</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

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                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>J.P. MORGAN SECURITIES</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
                <title>Mortgage Backed Swap Basket Index</title>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2240414"/>
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                <balance>1298000</balance>
                <units>NC</units>
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                <payoffProfile>N/A</payoffProfile>
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                <isRestrictedSec>N</isRestrictedSec>

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                            <counterpartyName>J.P. MORGAN SECURITIES</counterpartyName>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2245107"/>
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                <units>NC</units>
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                <payoffProfile>N/A</payoffProfile>
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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                <securityLending>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
                <title>Mortgage Backed Swap Basket Index</title>
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                    <other otherDesc="Internal ID" value="2253274"/>
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                <units>NC</units>
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                <payoffProfile>N/A</payoffProfile>
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                            <counterpartyName>J.P. MORGAN SECURITIES</counterpartyName>
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                        <notionalAmt>1645000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-86341.25</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2254234"/>
                </identifiers>
                <balance>38000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>4301.6</valUSD>
                <pctVal>0.000095847111</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.6 Index" floatingRtSpread="0" pmntAmt="0">
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                        <terminationDt>2063-05-11</terminationDt>
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                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>38000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>3715.35</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2256254"/>
                </identifiers>
                <balance>4167000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>212933.7</valUSD>
                <pctVal>0.004744532228</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.6 Index" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>441881.37</upfrontPmnt>
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                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>4167000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>231378.42</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2256534"/>
                </identifiers>
                <balance>40000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1664</valUSD>
                <pctVal>0.000037076807</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.9 Index" floatingRtSpread="0" pmntAmt="0">
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                        </floatingRecDesc>
                        <fixedPmntDesc amount="-38.89" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
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                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>4850</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>40000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-3224.89</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2256536"/>
                </identifiers>
                <balance>20000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>832</valUSD>
                <pctVal>0.000018538403</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.9 Index" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-19.44" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2058-09-17</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>2407.01</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>20000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-1594.45</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2256554"/>
                </identifiers>
                <balance>20000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>832</valUSD>
                <pctVal>0.000018538403</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.9 Index" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingRecDesc>
                        <fixedPmntDesc amount="-19.44" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2058-09-17</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>2424.99</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>20000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-1612.43</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2256618"/>
                </identifiers>
                <balance>20000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>832</valUSD>
                <pctVal>0.000018538403</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.9 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-19.44" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2058-09-17</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>2379.98</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>20000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-1567.42</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MERRILL LYNCH INTERNATIONAL</name>
                <lei>GGDZP1UYGU9STUHRDP48</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2258834"/>
                </identifiers>
                <balance>6000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>679.2</valUSD>
                <pctVal>0.000015133754</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
                            <counterpartyLei>GGDZP1UYGU9STUHRDP48</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="5.83" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.6 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>1226.25</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>6000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>552.88</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2260394"/>
                </identifiers>
                <balance>53000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>2851.4</valUSD>
                <pctVal>0.000063534139</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>J.P. MORGAN SECURITIES</counterpartyName>
                            <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.11 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingRecDesc>
                        <fixedPmntDesc amount="-51.53" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2054-11-18</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>5728.88</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>53000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-2929.01</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2261129"/>
                </identifiers>
                <balance>26000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1398.8</valUSD>
                <pctVal>0.000031167691</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

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                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>J.P. MORGAN SECURITIES</counterpartyName>
                            <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.11 Index" floatingRtSpread="0" pmntAmt="0">
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                        <fixedPmntDesc amount="-25.28" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2054-11-18</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>2670.2</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>26000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-1296.68</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2261597"/>
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                <balance>20000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>832</valUSD>
                <pctVal>0.000018538403</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.9 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <fixedPmntDesc amount="-19.44" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <terminationDt>2058-09-17</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>2155.44</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>20000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-1342.88</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2262423"/>
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                <balance>36000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1936.8</valUSD>
                <pctVal>0.000043155264</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
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                    <other otherDesc="Internal ID" value="2264375"/>
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                            <counterpartyName>J.P. MORGAN SECURITIES</counterpartyName>
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            <invstOrSec>
                <name>MERRILL LYNCH INTERNATIONAL</name>
                <lei>GGDZP1UYGU9STUHRDP48</lei>
                <title>Mortgage Backed Swap Basket Index</title>
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                    <other otherDesc="Internal ID" value="2267410"/>
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                <assetCat>DCR</assetCat>
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                <isRestrictedSec>N</isRestrictedSec>

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                            <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
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                    <other otherDesc="Internal ID" value="2267534"/>
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                            <counterpartyName>J.P. MORGAN SECURITIES</counterpartyName>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
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                    <other otherDesc="Internal ID" value="2268356"/>
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                            <counterpartyName>J.P. MORGAN SECURITIES</counterpartyName>
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                        <curCd>USD</curCd>
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                <securityLending>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
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                    <other otherDesc="Internal ID" value="2271174"/>
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                            <counterpartyName>J.P. MORGAN SECURITIES</counterpartyName>
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                <securityLending>
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            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Mortgage Backed Swap Basket Index</title>
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                    <other otherDesc="Internal ID" value="2276899"/>
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                <balance>23987000</balance>
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                            <counterpartyName>CREDIT SUISSE INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                <securityLending>
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            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
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                    <other otherDesc="Internal ID" value="2276936"/>
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                <balance>199428000</balance>
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                            <counterpartyName>CREDIT SUISSE INTERNATIONAL</counterpartyName>
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                <securityLending>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2278794"/>
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                <balance>27857000</balance>
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                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
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                    <other otherDesc="Internal ID" value="2278835"/>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
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                <balance>1069000</balance>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2077519"/>
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                <issuerCat>CORP</issuerCat>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2083191"/>
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                <balance>3928000</balance>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                <securityLending>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2088313"/>
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                <balance>178000</balance>
                <units>NC</units>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                <securityLending>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2089983"/>
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                <balance>375000</balance>
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                <payoffProfile>N/A</payoffProfile>
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                        <curCd>USD</curCd>
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                <securityLending>
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            <invstOrSec>
                <name>MERRILL LYNCH INTERNATIONAL</name>
                <lei>GGDZP1UYGU9STUHRDP48</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2090013"/>
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                <balance>397000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <pctVal>0.001001350074</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
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                <isRestrictedSec>N</isRestrictedSec>

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                <derivativeInfo>
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                            <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <terminationDt>2063-05-11</terminationDt>
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                        <unrealizedAppr>45175.23</unrealizedAppr>
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                <securityLending>
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            <invstOrSec>
                <name>MERRILL LYNCH INTERNATIONAL</name>
                <lei>GGDZP1UYGU9STUHRDP48</lei>
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                    <other otherDesc="Internal ID" value="2090016"/>
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                <balance>57000</balance>
                <units>NC</units>
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                <payoffProfile>N/A</payoffProfile>
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                <isRestrictedSec>N</isRestrictedSec>

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                            <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                <securityLending>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2090472"/>
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                <balance>187000</balance>
                <units>NC</units>
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                <payoffProfile>N/A</payoffProfile>
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                <isRestrictedSec>N</isRestrictedSec>

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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                <securityLending>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2091091"/>
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                <payoffProfile>N/A</payoffProfile>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <unrealizedAppr>66364.42</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2091093"/>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
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                    <other otherDesc="Internal ID" value="2096439"/>
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                <balance>178000</balance>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
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                    <other otherDesc="Internal ID" value="2096480"/>
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                <balance>317000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
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                <isRestrictedSec>N</isRestrictedSec>

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                            <counterpartyName>J.P. MORGAN SECURITIES</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                <securityLending>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2096802"/>
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                <balance>544000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>27798.4</valUSD>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>38438.63</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2096811"/>
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                <balance>578000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <pctVal>0.000658108862</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
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                <isRestrictedSec>N</isRestrictedSec>

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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>40841.05</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2096851"/>
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                <balance>2269000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <pctVal>0.005723081403</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
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                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>J.P. MORGAN SECURITIES</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>225590.22</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2096859"/>
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                <balance>9085000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <payoffProfile>N/A</payoffProfile>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>641939.28</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2096864"/>
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                <payoffProfile>N/A</payoffProfile>
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                <isRestrictedSec>N</isRestrictedSec>

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                        <swapFlag>Y</swapFlag>
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                <securityLending>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2097271"/>
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                <balance>70000</balance>
                <units>NC</units>
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                <valUSD>3577</valUSD>
                <pctVal>0.000079701765</pctVal>
                <payoffProfile>N/A</payoffProfile>
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                <isRestrictedSec>N</isRestrictedSec>

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                <derivativeInfo>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <curCd>USD</curCd>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>MERRILL LYNCH INTERNATIONAL</name>
                <lei>GGDZP1UYGU9STUHRDP48</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2099276"/>
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                <balance>1087000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-94711.46</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2100214"/>
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                <balance>1059000</balance>
                <units>NC</units>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

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                        <counterparties>
                            <counterpartyName>CREDIT SUISSE INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
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                    <other otherDesc="Internal ID" value="2103771"/>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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                <securityLending>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2104443"/>
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                <balance>492000</balance>
                <units>NC</units>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                <securityLending>
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            <invstOrSec>
                <name>DEUTSCHE BANK AG</name>
                <lei>7LTWFZYICNSX8D621K86</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2105251"/>
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                <balance>513000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>DEUTSCHE BANK AG</counterpartyName>
                            <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2105966"/>
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                <balance>267000</balance>
                <units>NC</units>
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                <payoffProfile>N/A</payoffProfile>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2109133"/>
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                <payoffProfile>N/A</payoffProfile>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
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                    <other otherDesc="Internal ID" value="2114213"/>
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2115674"/>
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                <balance>6103000</balance>
                <units>NC</units>
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                <payoffProfile>N/A</payoffProfile>
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                <isRestrictedSec>N</isRestrictedSec>

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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2121372"/>
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                <balance>4302000</balance>
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                <curCd>USD</curCd>
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                <payoffProfile>N/A</payoffProfile>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2124759"/>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                <name>GOLDMAN SACHS INTERNATIONAL</name>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2125397"/>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2126990"/>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2139215"/>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                <securityLending>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
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                    <other otherDesc="Internal ID" value="2142889"/>
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                <balance>299000</balance>
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                            <counterpartyName>J.P. MORGAN SECURITIES</counterpartyName>
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                <securityLending>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
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                    <other otherDesc="Internal ID" value="2144242"/>
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2145475"/>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
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                            <counterpartyName>CREDIT SUISSE INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
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                    <other otherDesc="Internal ID" value="2149339"/>
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                <balance>2551000</balance>
                <units>NC</units>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

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                            <counterpartyName>CREDIT SUISSE INTERNATIONAL</counterpartyName>
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                <securityLending>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
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                    <other otherDesc="Internal ID" value="2150395"/>
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                <balance>1561000</balance>
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                <invCountry>US</invCountry>
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                            <counterpartyName>J.P. MORGAN SECURITIES</counterpartyName>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-157039.72</unrealizedAppr>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2150398"/>
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                <balance>4109000</balance>
                <units>NC</units>
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                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2151375"/>
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                <balance>4265000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2151494"/>
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                <balance>209000</balance>
                <units>NC</units>
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                <payoffProfile>N/A</payoffProfile>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2154738"/>
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                <balance>1900000</balance>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2155336"/>
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                <balance>1923000</balance>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                <securityLending>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2155640"/>
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            <invstOrSec>
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                    <other otherDesc="Internal ID" value="2155974"/>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2157094"/>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="2157300"/>
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                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                <name>BANK OF AMERICA N.A.</name>
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            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
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            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
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            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
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            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                <name>GOLDMAN SACHS INTERNATIONAL</name>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
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                <payoffProfile>N/A</payoffProfile>
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                            <counterpartyName>CREDIT SUISSE INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                    <other otherDesc="Internal ID" value="1870316"/>
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                <balance>3152000</balance>
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                <invCountry>US</invCountry>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="1870540"/>
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                <balance>2909000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <payoffProfile>N/A</payoffProfile>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1908206"/>
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                <balance>333000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
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                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>J.P. MORGAN SECURITIES</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                <securityLending>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
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                <identifiers>
                    <other otherDesc="Internal ID" value="1908519"/>
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                <balance>322000</balance>
                <units>NC</units>
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                            <counterpartyName>J.P. MORGAN SECURITIES</counterpartyName>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-41078.26</unrealizedAppr>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
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                <identifiers>
                    <other otherDesc="Internal ID" value="1913900"/>
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                <balance>305000</balance>
                <units>NC</units>
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                <payoffProfile>N/A</payoffProfile>
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                            <counterpartyName>J.P. MORGAN SECURITIES</counterpartyName>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                    <other otherDesc="Internal ID" value="1925486"/>
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                <payoffProfile>N/A</payoffProfile>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1926796"/>
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                <balance>1625000</balance>
                <units>NC</units>
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                <payoffProfile>N/A</payoffProfile>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1926810"/>
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                <balance>2447000</balance>
                <units>NC</units>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1930075"/>
                </identifiers>
                <balance>1851000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <pctVal>0.002107542394</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>62695</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1930315"/>
                </identifiers>
                <balance>1252000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>63977.2</valUSD>
                <pctVal>0.001425523002</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>42406.33</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1930355"/>
                </identifiers>
                <balance>1174000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>59991.4</valUSD>
                <pctVal>0.001336712464</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <notionalAmt>1174000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>42411.1</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1930815"/>
                </identifiers>
                <balance>1855000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>94790.5</valUSD>
                <pctVal>0.00211209678</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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                        </floatingPmntDesc>
                        <terminationDt>2063-05-11</terminationDt>
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                        <pmntCurCd>USD</pmntCurCd>
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                        <notionalAmt>1855000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>60026.96</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1932875"/>
                </identifiers>
                <balance>2431000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>124224.1</valUSD>
                <pctVal>0.002767928449</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.6 Index" floatingRtSpread="0" pmntAmt="0">
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                        </floatingPmntDesc>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>267526.5</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
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                        <rcptCurCd>USD</rcptCurCd>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>144720.48</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1934548"/>
                </identifiers>
                <balance>1721000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>66086.4</valUSD>
                <pctVal>0.001472519637</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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                        </floatingRecDesc>
                        <fixedPmntDesc amount="-1673.19" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
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                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>349448.43</upfrontRcpt>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-285035.22</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1934555"/>
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                <balance>813000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>41544.3</valUSD>
                <pctVal>0.000925679074</pctVal>
                <payoffProfile>N/A</payoffProfile>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <terminationDt>2063-05-11</terminationDt>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>71803.7</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1964975"/>
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                <balance>1898000</balance>
                <units>NC</units>
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                <pctVal>0.002161056436</pctVal>
                <payoffProfile>N/A</payoffProfile>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                <securityLending>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1967758"/>
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                <balance>5080000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>259588</valUSD>
                <pctVal>0.005784070967</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>273974.72</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1969600"/>
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                <balance>106000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <pctVal>0.000090695573</pctVal>
                <payoffProfile>N/A</payoffProfile>
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                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-13400.08</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1970215"/>
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                <balance>2053000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>104908.3</valUSD>
                <pctVal>0.002337538917</pctVal>
                <payoffProfile>N/A</payoffProfile>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.6 Index" floatingRtSpread="0" pmntAmt="0">
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                    <other otherDesc="Internal ID" value="1970235"/>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                    <other otherDesc="Internal ID" value="1976255"/>
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                <balance>2489000</balance>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                <securityLending>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                    <other otherDesc="Internal ID" value="2001075"/>
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                <balance>3482000</balance>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                <securityLending>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2001677"/>
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                <balance>4803000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2002996"/>
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                <balance>6242000</balance>
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                <payoffProfile>N/A</payoffProfile>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2003558"/>
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                <balance>1410000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <pctVal>0.001605421272</pctVal>
                <payoffProfile>N/A</payoffProfile>
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                <isRestrictedSec>N</isRestrictedSec>

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                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2004075"/>
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                <balance>2258000</balance>
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                <payoffProfile>N/A</payoffProfile>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                <securityLending>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2004077"/>
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                <payoffProfile>N/A</payoffProfile>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                <securityLending>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2029687"/>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2031937"/>
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                <balance>1229000</balance>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        <unrealizedAppr>-178363.43</unrealizedAppr>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2032450"/>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                        <fixedPmntDesc amount="-3168.47" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
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                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>655402.48</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>3259000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-533425.35</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2076827"/>
                </identifiers>
                <balance>4465000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>505438</valUSD>
                <pctVal>0.011262035462</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="4340.97" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BB.6 Index" floatingRtSpread="0" pmntAmt="0">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>1100224.59</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>4465000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>599127.56</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>OPTION ON MORTGAGE BONDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2331674"/>
                </identifiers>
                <balance>266000000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>456456</valUSD>
                <pctVal>0.010170631529</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>FNMA  FN30   TBA      UMBS    03.0000 01/01/2050</issuerName>
<issueTitle>FNMA TBA</issueTitle>
<identifiers>
    <cusip value="01F030611"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>101.34375</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-01-07</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-457919</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>OPTION ON MORTGAGE BONDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2334519"/>
                </identifiers>
                <balance>69000000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>144831</valUSD>
                <pctVal>0.00322708593</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>FNMA  FN30   TBA      UMBS    03.5000 01/01/2050</issuerName>
<issueTitle>FNMA TBA</issueTitle>
<identifiers>
    <cusip value="01F032617"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>102.8125</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-01-07</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>15456</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>OPTION ON MORTGAGE BONDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2331675"/>
                </identifiers>
                <balance>266000000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>165452</valUSD>
                <pctVal>0.003686557583</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>FNMA  FN30   TBA      UMBS    03.0000 01/01/2050</issuerName>
<issueTitle>FNMA TBA</issueTitle>
<identifiers>
    <cusip value="01F030611"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>101.34375</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-01-07</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>748923</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>OPTION ON MORTGAGE BONDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2334547"/>
                </identifiers>
                <balance>69000000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>85560</valUSD>
                <pctVal>0.001906425227</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>FNMA  FN30   TBA      UMBS    03.5000 01/01/2050</issuerName>
<issueTitle>FNMA TBA</issueTitle>
<identifiers>
    <cusip value="01F032617"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>102.8125</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-01-07</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>43815</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTL FX</name>
                <lei>N/A</lei>
                <title>OTC CURRENCY OPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2317998"/>
                </identifiers>
                <balance>94932900</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.1217"/>
                <valUSD>562673.26</valUSD>
                <pctVal>0.012537336346</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTL FX</counterpartyName>
                            <counterpartyLei>N/A</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>EUR/NOK PUT 9.85 20200121 GSFX</issuerName>
<issueTitle>OTC CURRENCY OPTION</issueTitle>
<identifiers>
    <other otherDesc="Internal ID" value="EUR/NOK PUT 9.85 20200121 GSFX"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>9.85</exercisePrice>
                        <exercisePriceCurCd>NOK</exercisePriceCurCd>
                        <expDt>2020-01-21</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>372088.37</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>OTC CURRENCY OPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2283734"/>
                </identifiers>
                <balance>207106700</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".70175"/>
                <valUSD>64384.35</valUSD>
                <pctVal>0.001434595011</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>AUD/JPY PUT 70.00 20200214 CITI</issuerName>
<issueTitle>OTC CURRENCY OPTION</issueTitle>
<identifiers>
    <other otherDesc="Internal ID" value="AUD/JPY PUT 70.00 20200214 CITI"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>70</exercisePrice>
                        <exercisePriceCurCd>JPY</exercisePriceCurCd>
                        <expDt>2020-02-14</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-3638688.17</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTL FX</name>
                <lei>N/A</lei>
                <title>OTC CURRENCY OPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2283188"/>
                </identifiers>
                <balance>207106700</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".70175"/>
                <valUSD>64384.35</valUSD>
                <pctVal>0.001434595011</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="OPT">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTL FX</counterpartyName>
                            <counterpartyLei>N/A</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <otherRefInst>
<issuerName>AUD/JPY PUT 70.00 20200214 GSFX</issuerName>
<issueTitle>OTC CURRENCY OPTION</issueTitle>
<identifiers>
    <other otherDesc="Internal ID" value="AUD/JPY PUT 70.00 20200214 GSFX"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>70</exercisePrice>
                        <exercisePriceCurCd>JPY</exercisePriceCurCd>
                        <expDt>2020-02-14</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-2663671.25</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>LLOYDS BANK PLC</name>
                <lei>H7FNTJ4851HG0EXQ1Z70</lei>
                <title>PERPETUAL BONDS</title>
                <cusip>G47188CY4</cusip>
                <identifiers>
                    <isin value="XS0408620721"/>
                </identifiers>
                <balance>100000</balance>
                <units>PA</units>
                <currencyConditional curCd="GBP" exchangeRt="1.324599805"/>
                <valUSD>239531.79</valUSD>
                <pctVal>0.005337183815</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-01-29</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>13</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE GROUP AG</name>
                <lei>549300506SI9CRFV9Z86</lei>
                <title>PERPETUAL BONDS</title>
                <cusip>225436AA2</cusip>
                <identifiers>
                    <isin value="US225436AA21"/>
                </identifiers>
                <balance>1285000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1394867.5</valUSD>
                <pctVal>0.031080067684</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CH</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-12-18</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>6.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA CORP</name>
                <lei>9DJT3UXIJIZJI4WXO774</lei>
                <title>PERPETUAL BONDS</title>
                <cusip>060505EL4</cusip>
                <identifiers>
                    <isin value="US060505EL47"/>
                </identifiers>
                <balance>1685000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1912475</valUSD>
                <pctVal>0.042613260718</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-10-29</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>6.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ROYAL BANK OF SCOTLAND GROUP PLC</name>
                <lei>2138005O9XJIJN4JPN90</lei>
                <title>PERPETUAL BONDS</title>
                <cusip>780099CJ4</cusip>
                <identifiers>
                    <isin value="US780099CJ48"/>
                </identifiers>
                <balance>3515000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3591908.2</valUSD>
                <pctVal>0.080033945857</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-12-29</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>7.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ROYAL BANK OF SCOTLAND GROUP PLC</name>
                <lei>2138005O9XJIJN4JPN90</lei>
                <title>PERPETUAL BONDS</title>
                <cusip>780097AH4</cusip>
                <identifiers>
                    <isin value="US780097AH44"/>
                </identifiers>
                <balance>2445000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3426721.29</valUSD>
                <pctVal>0.076353294939</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-08-29</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>7.648</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS GROUP AG</name>
                <lei>549300SZJ9VS8SGXAN81</lei>
                <title>PERPETUAL BONDS</title>
                <cusip>H4209UAN6</cusip>
                <identifiers>
                    <isin value="CH0286864027"/>
                </identifiers>
                <balance>1400000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1551685.52</valUSD>
                <pctVal>0.034574245214</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CH</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-12-29</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>6.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>INTESA SANPAOLO SPA</name>
                <lei>2W8N8UU78PMDQKZENC08</lei>
                <title>PERPETUAL BONDS</title>
                <cusip>46115HAU1</cusip>
                <identifiers>
                    <isin value="US46115HAU14"/>
                </identifiers>
                <balance>1370000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1467368.64</valUSD>
                <pctVal>0.032695518857</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>IT</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-12-31</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>7.7</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ENERGY TRANSFER OPERATING LP</name>
                <lei>5493008K8W3OKZE54J59</lei>
                <title>PERPETUAL BONDS</title>
                <cusip>29278NAB9</cusip>
                <identifiers>
                    <isin value="US29278NAB91"/>
                </identifiers>
                <balance>4200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3969000</valUSD>
                <pctVal>0.088436205331</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-02-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>6.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ROYAL BANK OF SCOTLAND GROUP PLC</name>
                <lei>2138005O9XJIJN4JPN90</lei>
                <title>PERPETUAL BONDS</title>
                <cusip>780099CK1</cusip>
                <identifiers>
                    <isin value="US780099CK11"/>
                </identifiers>
                <balance>1370000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1577212.5</valUSD>
                <pctVal>0.035143030612</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2049-12-29</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>8</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF NEW YORK</name>
                <lei>N/A</lei>
                <title>REPURCHASE AGREEMENT</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2344295"/>
                </identifiers>
                <balance>113074000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>113074000</valUSD>
                <pctVal>2.519484878203</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>RA</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <repurchaseAgrmt>
                    <transCat>Repurchase</transCat>
                    <clearedCentCparty centralCounterparty="BANK OF NEW YORK" isCleared="Y"/>
                    <isTriParty>Y</isTriParty>
                    <repurchaseRt>1.57</repurchaseRt>
                    <maturityDt>2020-01-02</maturityDt>
                    <repurchaseCollaterals>
                        <repurchaseCollateral>
                            <principalAmt>110076728</principalAmt>
                            <principalCd>USD</principalCd>
                            <collateralVal>115359581.52</collateralVal>
                            <collateralCd>USD</collateralCd>
                            <invstCat>AMBS</invstCat>
                        </repurchaseCollateral>
                    </repurchaseCollaterals>
                </repurchaseAgrmt>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PUTNAM SHORT TERM INVESTMENT FUND</name>
                <lei>5493003MK0Q7JP8CPP42</lei>
                <title>SHORT TERM INV FUND</title>
                <cusip>74676P664</cusip>
                <identifiers>
                    <isin value="US74676P6640"/>
                </identifiers>
                <balance>283958985.92</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>283958985.92</valUSD>
                <pctVal>6.327098811885</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>STIV</assetCat>
                <issuerCat>PF</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>1</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>State Street Institutional U.S. Government Money Market Fund, Premier Class</name>
                <lei>N/A</lei>
                <title>SHORT TERM INV FUND</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="715802"/>
                </identifiers>
                <balance>6939000</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>6939000</valUSD>
                <pctVal>0.154612957619</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>STIV</assetCat>
                <issuerCat>RF</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>1</fairValLevel>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2263975"/>
                </identifiers>
                <balance>335284100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-2004998.92</valUSD>
                <pctVal>-0.044674854164</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.765"/>
    <terminationDt>2025-06-30</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>335284100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.765</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-06-26</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-2004998.92</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2264030"/>
                </identifiers>
                <balance>335284100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-1310960.83</valUSD>
                <pctVal>-0.029210481517</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.765"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2025-06-30</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>335284100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.765</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-06-26</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-1310960.83</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2264323"/>
                </identifiers>
                <balance>335284100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-1931236.42</valUSD>
                <pctVal>-0.043031297703</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
        <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.755"/>
    <terminationDt>2025-07-01</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>335284100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.755</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-06-29</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-1931236.42</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2264336"/>
                </identifiers>
                <balance>335284100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-1398134.7</valUSD>
                <pctVal>-0.031152866568</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
        <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.755"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2025-07-01</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>335284100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.755</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-06-29</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-1398134.7</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2286844"/>
                </identifiers>
                <balance>11981800</balance>
                <units>NC</units>
                <currencyConditional curCd="GBP" exchangeRt="1.3246"/>
                <valUSD>214418.46</valUSD>
                <pctVal>0.004777615257</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="6 month GBP-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="GBP" fixedOrFloating="Fixed" fixedRt=".762"/>
    <terminationDt>2039-08-20</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>11981800</notionalAmt>
    <curCd>GBP</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.762</exercisePrice>
                        <exercisePriceCurCd>GBP</exercisePriceCurCd>
                        <expDt>2029-08-20</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>214418.46</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2286848"/>
                </identifiers>
                <balance>11145900</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.1217"/>
                <valUSD>392824.03</valUSD>
                <pctVal>0.008752800851</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR-REUTERS" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt=".43"/>
    <terminationDt>2039-08-22</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>11145900</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.43</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2029-08-20</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>392824.03</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2286894"/>
                </identifiers>
                <balance>11981800</balance>
                <units>NC</units>
                <currencyConditional curCd="GBP" exchangeRt="1.3246"/>
                <valUSD>-434391.8</valUSD>
                <pctVal>-0.009679002877</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="GBP" fixedOrFloating="Fixed" fixedRt=".762"/>
    <floatingPmntDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="6 month GBP-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2039-08-20</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>11981800</notionalAmt>
    <curCd>GBP</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.762</exercisePrice>
                        <exercisePriceCurCd>GBP</exercisePriceCurCd>
                        <expDt>2029-08-20</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-434391.8</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2286900"/>
                </identifiers>
                <balance>11145900</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.1217"/>
                <valUSD>-312808.95</valUSD>
                <pctVal>-0.00696992606</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt=".43"/>
    <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR-REUTERS" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2039-08-22</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>11145900</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.43</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2029-08-20</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-312808.95</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2289398"/>
                </identifiers>
                <balance>250345100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1159097.81</valUSD>
                <pctVal>0.025826709983</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.245"/>
    <terminationDt>2024-08-31</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>250345100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.245</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-08-26</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>1159097.81</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2289414"/>
                </identifiers>
                <balance>250345100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-1251725.5</valUSD>
                <pctVal>-0.027890615605</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.245"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2024-08-31</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>250345100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.245</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-08-26</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-1251725.5</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2290319"/>
                </identifiers>
                <balance>58978200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1608925.3</valUSD>
                <pctVal>0.035849646811</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.613"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2034-08-29</terminationDt>
    <upfrontPmnt>-3038851.74</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>58978200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.613</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-08-27</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-1429926.44</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2290321"/>
                </identifiers>
                <balance>58978200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>4236993.89</valUSD>
                <pctVal>0.09440757411</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.613"/>
    <terminationDt>2034-08-29</terminationDt>
    <upfrontPmnt>-3038851.74</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>58978200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.613</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-08-27</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>1198142.15</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2290327"/>
                </identifiers>
                <balance>58978200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>3814120.19</valUSD>
                <pctVal>0.084985214482</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.512"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2032-09-01</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>2471186.58</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>58978200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.512</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-08-30</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-1342933.61</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2290329"/>
                </identifiers>
                <balance>58978200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1094635.39</valUSD>
                <pctVal>0.024390375438</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.512"/>
    <terminationDt>2032-09-01</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>2471186.58</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>58978200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.512</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-08-30</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>1376551.19</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2296494"/>
                </identifiers>
                <balance>83593200</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.1217"/>
                <valUSD>1248032.01</valUSD>
                <pctVal>0.02780831824</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt=".153"/>
    <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR-REUTERS" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2029-09-12</terminationDt>
    <upfrontPmnt>-2215086.05</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>83593200</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.153</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2024-09-10</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-967054.04</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2296496"/>
                </identifiers>
                <balance>83593200</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.1217"/>
                <valUSD>2852376.7</valUSD>
                <pctVal>0.063555901114</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR-REUTERS" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt=".153"/>
    <terminationDt>2029-09-12</terminationDt>
    <upfrontPmnt>-1968965.37</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>83593200</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.153</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2024-09-10</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>883411.33</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2296498"/>
                </identifiers>
                <balance>41796700</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.1217"/>
                <valUSD>1390560.41</valUSD>
                <pctVal>0.030984098247</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR-REUTERS" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt=".385"/>
    <terminationDt>2034-09-12</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>2393529.26</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>41796700</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.385</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2024-09-10</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>1002968.85</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2296500"/>
                </identifiers>
                <balance>41796700</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.1217"/>
                <valUSD>3025383.12</valUSD>
                <pctVal>0.067410784279</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt=".385"/>
    <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR-REUTERS" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2034-09-12</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>2215091.35</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>41796700</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>.385</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2024-09-10</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-810291.77</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2297262"/>
                </identifiers>
                <balance>44214400</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>8169052.54</valUSD>
                <pctVal>0.182020662078</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
    <terminationDt>2049-02-02</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>11146450.24</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>44214400</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-01-31</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>2977397.7</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2297276"/>
                </identifiers>
                <balance>44214400</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>8135449.6</valUSD>
                <pctVal>0.181271930281</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
    <terminationDt>2048-04-14</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>11208350.4</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>44214400</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2023-04-12</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>3072900.8</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2297334"/>
                </identifiers>
                <balance>44214400</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>8136333.89</valUSD>
                <pctVal>0.181291633796</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
    <terminationDt>2048-04-06</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>11212771.84</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>44214400</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2023-04-04</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>3076437.95</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2298674"/>
                </identifiers>
                <balance>258104600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-376832.72</valUSD>
                <pctVal>-0.008396486722</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.5775"/>
    <terminationDt>2022-09-16</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>258104600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.5775</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-09-14</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-376832.72</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2298676"/>
                </identifiers>
                <balance>258104600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-580735.35</valUSD>
                <pctVal>-0.012939791044</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.5775"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2022-09-16</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>258104600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.5775</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-09-14</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-580735.35</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2313676"/>
                </identifiers>
                <balance>536553400</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>418511.65</valUSD>
                <pctVal>0.009325165586</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.316"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2021-10-15</terminationDt>
    <upfrontPmnt>-1502349.52</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>536553400</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.316</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-10-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-1083837.87</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2313678"/>
                </identifiers>
                <balance>536553400</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1947688.84</valUSD>
                <pctVal>0.043397886161</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.316"/>
    <terminationDt>2021-10-15</terminationDt>
    <upfrontPmnt>-1502349.52</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>536553400</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.316</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-10-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>445339.32</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2313714"/>
                </identifiers>
                <balance>53655100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>3929162.97</valUSD>
                <pctVal>0.087548567194</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.865"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2039-10-12</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>3455388.44</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>53655100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.865</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2029-10-10</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-473774.53</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2313716"/>
                </identifiers>
                <balance>53655100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>2311461.71</valUSD>
                <pctVal>0.05150337677</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.865"/>
    <terminationDt>2039-10-12</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>3455388.44</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>53655100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.865</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2029-10-10</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>1143926.73</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TORONTO-DOMINION BANK/THE</name>
                <lei>PT3QB789TSUIDF371261</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2313935"/>
                </identifiers>
                <balance>429242600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>115895.5</valUSD>
                <pctVal>0.002582352793</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>TORONTO-DOMINION BANK/THE</counterpartyName>
                            <counterpartyLei>PT3QB789TSUIDF371261</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>TORONTO-DOMINION BANK/THE</counterpartyName>
        <counterpartyLei>PT3QB789TSUIDF371261</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.715"/>
    <terminationDt>2022-01-14</terminationDt>
    <upfrontPmnt>-504360.01</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>429242600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.715</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-01-10</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-388464.51</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TORONTO-DOMINION BANK/THE</name>
                <lei>PT3QB789TSUIDF371261</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2313962"/>
                </identifiers>
                <balance>85848400</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>771777.12</valUSD>
                <pctVal>0.017196533095</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>TORONTO-DOMINION BANK/THE</counterpartyName>
                            <counterpartyLei>PT3QB789TSUIDF371261</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>TORONTO-DOMINION BANK/THE</counterpartyName>
        <counterpartyLei>PT3QB789TSUIDF371261</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.8055"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2030-01-14</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>446411.68</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>85848400</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.8055</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-01-10</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-325365.44</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2317138"/>
                </identifiers>
                <balance>558015100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>730999.78</valUSD>
                <pctVal>0.01628794322</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.5025"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2021-10-21</terminationDt>
    <upfrontPmnt>-1487324.85</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>558015100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.5025</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-10-19</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-756325.07</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2317140"/>
                </identifiers>
                <balance>558015100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1300175.18</valUSD>
                <pctVal>0.028970158525</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.5025"/>
    <terminationDt>2021-10-21</terminationDt>
    <upfrontPmnt>-1487324.85</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>558015100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.5025</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-10-19</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-187149.67</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2317158"/>
                </identifiers>
                <balance>62240100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>2683793.11</valUSD>
                <pctVal>0.059799566274</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.9875"/>
    <terminationDt>2036-10-21</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>3455398.65</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>62240100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.9875</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2026-10-19</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>771605.54</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2317160"/>
                </identifiers>
                <balance>62240100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>3825276.55</valUSD>
                <pctVal>0.085233797537</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.9875"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2036-10-21</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>3455398.65</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>62240100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.9875</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2026-10-19</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-369877.9</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2332620"/>
                </identifiers>
                <balance>239601000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>239.6</valUSD>
                <pctVal>0.000005338704</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.598"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2030-01-06</terminationDt>
    <upfrontPmnt>-1046257.7</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>239601000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.598</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-01-02</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-1046018.1</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2332622"/>
                </identifiers>
                <balance>119800500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>119.8</valUSD>
                <pctVal>0.000002669352</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.668"/>
    <terminationDt>2030-01-06</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>795475.32</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>119800500</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.668</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-01-02</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>795355.52</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2332678"/>
                </identifiers>
                <balance>159734000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>391348.3</valUSD>
                <pctVal>0.008719919026</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.868"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2030-01-06</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>234808.98</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>159734000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.868</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-01-02</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-156539.32</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2334854"/>
                </identifiers>
                <balance>328391100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>3283.91</valUSD>
                <pctVal>0.000073171212</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.621"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2030-01-08</terminationDt>
    <upfrontPmnt>-1469550.16</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>328391100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.621</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-01-06</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-1466266.25</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2334856"/>
                </identifiers>
                <balance>164195800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>9851.75</valUSD>
                <pctVal>0.000219514081</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.706"/>
    <terminationDt>2030-01-08</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>1231468.5</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>164195800</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.706</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-01-06</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>1221616.75</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2339479"/>
                </identifiers>
                <balance>319469200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>143761.14</valUSD>
                <pctVal>0.003203247593</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
        <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.71875"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2030-01-13</terminationDt>
    <upfrontPmnt>-1143699.75</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>319469200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.71875</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-01-09</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-999938.61</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2339497"/>
                </identifiers>
                <balance>159734600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>301898.39</valUSD>
                <pctVal>0.006726819856</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
        <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.81875"/>
    <terminationDt>2030-01-13</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>1102168.74</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>159734600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.81875</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-01-09</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>800270.35</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2339942"/>
                </identifiers>
                <balance>159734600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>322663.89</valUSD>
                <pctVal>0.007189511219</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.8"/>
    <terminationDt>2030-01-15</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>1118142.2</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>159734600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.8</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-01-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>795478.31</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2339954"/>
                </identifiers>
                <balance>319469200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>182097.44</valUSD>
                <pctVal>0.004057446862</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.695"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2030-01-15</terminationDt>
    <upfrontPmnt>-1118142.2</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>319469200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.695</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-01-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-936044.76</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2341954"/>
                </identifiers>
                <balance>64047900</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>40990.66</valUSD>
                <pctVal>0.000913343014</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
        <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.13"/>
    <terminationDt>2030-12-21</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>64047900</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.13</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-12-17</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>40990.66</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2341994"/>
                </identifiers>
                <balance>160120300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1202503.45</valUSD>
                <pctVal>0.026793862942</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.999"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2030-03-19</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>960721.8</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>160120300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.999</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-03-17</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-241781.65</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2341996"/>
                </identifiers>
                <balance>320240600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1117639.69</valUSD>
                <pctVal>0.024902951149</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.18775"/>
    <terminationDt>2030-03-19</terminationDt>
    <upfrontPmnt>-960721.8</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>320240600</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.18775</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-03-17</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>156917.89</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2343503"/>
                </identifiers>
                <balance>196939100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>9846.96</valUSD>
                <pctVal>0.000219407351</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.975"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2023-12-02</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>196939100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.975</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-11-30</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>9846.96</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2343511"/>
                </identifiers>
                <balance>196939100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>13785.74</valUSD>
                <pctVal>0.000307170202</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.162"/>
    <terminationDt>2033-12-02</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>196939100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.162</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-11-30</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>13785.74</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2343513"/>
                </identifiers>
                <balance>196939100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-888195.34</valUSD>
                <pctVal>-0.019790532996</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.162"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2033-12-02</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>196939100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.162</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-11-30</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-888195.34</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2343514"/>
                </identifiers>
                <balance>196939100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-27571.47</valUSD>
                <pctVal>-0.000614340182</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.975"/>
    <terminationDt>2023-12-02</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>196939100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.975</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-11-30</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-27571.47</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2343516"/>
                </identifiers>
                <balance>196939100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-45295.99</valUSD>
                <pctVal>-0.001009273236</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.229"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2033-12-04</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>196939100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.229</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2023-11-30</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-45295.99</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2343535"/>
                </identifiers>
                <balance>196939100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>848807.52</valUSD>
                <pctVal>0.018912904038</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.229"/>
    <terminationDt>2033-12-04</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>196939100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.229</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2023-11-30</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>848807.52</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2343774"/>
                </identifiers>
                <balance>125328500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-175459.9</valUSD>
                <pctVal>-0.003909550956</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.3"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2026-09-01</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>125328500</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.3</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-08-27</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-175459.9</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2343776"/>
                </identifiers>
                <balance>125328500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>106529.22</valUSD>
                <pctVal>0.002373655826</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.3"/>
    <terminationDt>2026-09-01</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>125328500</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.3</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-08-27</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>106529.22</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2343784"/>
                </identifiers>
                <balance>58978200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>30078.88</valUSD>
                <pctVal>0.000670209627</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.6125"/>
    <terminationDt>2034-08-29</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>58978200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.6125</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-08-27</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>30078.88</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2343788"/>
                </identifiers>
                <balance>58978200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>29489.1</valUSD>
                <pctVal>0.000657068305</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>UBS AG</counterpartyName>
                            <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.6125"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2034-08-29</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>58978200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.6125</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-08-27</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>29489.1</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2344198"/>
                </identifiers>
                <balance>240180400</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>62446.9</valUSD>
                <pctVal>0.001391425263</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.81"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2030-01-15</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>240180400</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.81</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-01-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>62446.9</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2344218"/>
                </identifiers>
                <balance>160120300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-28821.65</valUSD>
                <pctVal>-0.000642196361</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.99"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2030-01-15</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>160120300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.99</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-01-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-28821.65</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1924423"/>
                </identifiers>
                <balance>41743200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>2090499.46</valUSD>
                <pctVal>0.04657995452</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
        <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.785"/>
    <terminationDt>2047-01-27</terminationDt>
    <upfrontPmnt>-4479045.36</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>41743200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.785</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-01-25</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-2388545.9</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1924435"/>
                </identifiers>
                <balance>41743200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>5630740.25</valUSD>
                <pctVal>0.12546266085</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
        <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.785"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2047-01-27</terminationDt>
    <upfrontPmnt>-4479045.36</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>41743200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.785</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-01-25</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>1151694.89</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1931699"/>
                </identifiers>
                <balance>41743200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-4796293.68</valUSD>
                <pctVal>-0.106869743692</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.8325"/>
    <terminationDt>2052-02-17</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>41743200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.8325</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-02-15</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-4796293.68</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1931705"/>
                </identifiers>
                <balance>41743200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1884288.05</valUSD>
                <pctVal>0.041985206574</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.8325"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2052-02-17</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>41743200</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.8325</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-02-15</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>1884288.05</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1947545"/>
                </identifiers>
                <balance>8348800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-530983.68</valUSD>
                <pctVal>-0.011831237529</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
        <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.8175"/>
    <terminationDt>2047-03-25</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>8348800</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.8175</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-03-23</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-530983.68</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1947556"/>
                </identifiers>
                <balance>8348800</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>213061.38</valUSD>
                <pctVal>0.00474737716</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
        <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.8175"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2047-03-25</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>8348800</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.8175</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-03-23</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>213061.38</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2040959"/>
                </identifiers>
                <balance>11217000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>320581.86</valUSD>
                <pctVal>0.007143119979</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.902"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2049-11-12</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>11217000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.902</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-11-08</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>320581.86</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2040972"/>
                </identifiers>
                <balance>11217000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-690630.69</valUSD>
                <pctVal>-0.015388449864</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.902"/>
    <terminationDt>2049-11-12</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>11217000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.902</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-11-08</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-690630.69</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2041350"/>
                </identifiers>
                <balance>11217000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>284463.12</valUSD>
                <pctVal>0.006338331794</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.689"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2049-11-14</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>11217000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.689</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-11-12</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>284463.12</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2041356"/>
                </identifiers>
                <balance>11217000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-782161.41</valUSD>
                <pctVal>-0.017427913091</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.689"/>
    <terminationDt>2049-11-14</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>11217000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.689</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-11-12</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-782161.41</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2041548"/>
                </identifiers>
                <balance>18696100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-757005.09</valUSD>
                <pctVal>-0.01686738664</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.5"/>
    <terminationDt>2039-11-13</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>18696100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.5</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2029-11-09</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-757005.09</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2041600"/>
                </identifiers>
                <balance>18696100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>320077.23</valUSD>
                <pctVal>0.007131875947</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.5"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2039-11-13</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>18696100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.5</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2029-11-09</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>320077.23</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2042283"/>
                </identifiers>
                <balance>11217000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>265169.88</valUSD>
                <pctVal>0.005908444937</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.505"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2049-11-15</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>11217000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.505</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-11-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>265169.88</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2042285"/>
                </identifiers>
                <balance>11217000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-898706.04</valUSD>
                <pctVal>-0.020024729626</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.505"/>
    <terminationDt>2049-11-15</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>11217000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.505</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-11-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-898706.04</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2050964"/>
                </identifiers>
                <balance>10000000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1429100</valUSD>
                <pctVal>0.03184282717</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.75"/>
    <terminationDt>2047-12-09</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>1066250</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>10000000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.75</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-12-05</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-362850</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2050995"/>
                </identifiers>
                <balance>10000000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1678400</valUSD>
                <pctVal>0.03739766365</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.75"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2047-12-07</terminationDt>
    <upfrontPmnt>-1202250</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>10000000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.75</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2046-12-07</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>476150</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2055075"/>
                </identifiers>
                <balance>35772300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1273493.88</valUSD>
                <pctVal>0.028375652875</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.7575"/>
    <terminationDt>2037-12-22</terminationDt>
    <upfrontPmnt>-2053330.02</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>35772300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.7575</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-12-20</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-779836.14</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2055141"/>
                </identifiers>
                <balance>35772300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>2741946.8</valUSD>
                <pctVal>0.061095331371</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.7575"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2037-12-22</terminationDt>
    <upfrontPmnt>-2053330.02</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>35772300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.7575</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-12-20</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>688616.78</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2055223"/>
                </identifiers>
                <balance>35772300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>2808841</valUSD>
                <pctVal>0.062585850193</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.795"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2037-12-22</terminationDt>
    <upfrontPmnt>-2051541.36</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>35772300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.795</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-12-20</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>757299.64</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2055229"/>
                </identifiers>
                <balance>35772300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1233786.63</valUSD>
                <pctVal>0.027490906461</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.795"/>
    <terminationDt>2037-12-22</terminationDt>
    <upfrontPmnt>-2051541.36</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>35772300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.795</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-12-20</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-817754.73</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2085471"/>
                </identifiers>
                <balance>44214400</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>8840227.14</valUSD>
                <pctVal>0.196975596504</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2048-04-06</terminationDt>
    <upfrontPmnt>-5323413.76</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>44214400</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2047-04-06</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>3516813.38</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2089576"/>
                </identifiers>
                <balance>44214400</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>8848185.73</valUSD>
                <pctVal>0.197152927696</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2048-04-17</terminationDt>
    <upfrontPmnt>-5020545.07</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>44214400</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2047-04-17</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>3827640.66</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2137405"/>
                </identifiers>
                <balance>1758437400</balance>
                <units>NC</units>
                <currencyConditional curCd="JPY" exchangeRt=".009203442"/>
                <valUSD>1312172.5</valUSD>
                <pctVal>0.029237479627</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                            <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
        <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="JPY" fixedOrFloating="Fixed" fixedRt="1.11125"/>
    <floatingPmntDesc curCd="JPY" fixedOrFloating="Floating" floatingRtIndex="6 month JPY-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2043-08-29</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1758437400</notionalAmt>
    <curCd>JPY</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.11125</exercisePrice>
                        <exercisePriceCurCd>JPY</exercisePriceCurCd>
                        <expDt>2023-08-24</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>1312172.5</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2137407"/>
                </identifiers>
                <balance>1758437400</balance>
                <units>NC</units>
                <currencyConditional curCd="JPY" exchangeRt=".009203442"/>
                <valUSD>-758205.25</valUSD>
                <pctVal>-0.016894128287</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                            <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
        <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="JPY" fixedOrFloating="Floating" floatingRtIndex="6 month JPY-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="JPY" fixedOrFloating="Fixed" fixedRt="1.11125"/>
    <terminationDt>2043-08-29</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1758437400</notionalAmt>
    <curCd>JPY</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.11125</exercisePrice>
                        <exercisePriceCurCd>JPY</exercisePriceCurCd>
                        <expDt>2023-08-24</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-758205.25</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2159700"/>
                </identifiers>
                <balance>28548700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>4413058.05</valUSD>
                <pctVal>0.098330589027</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.27"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2053-10-19</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>28548700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.27</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2023-10-17</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>4413058.05</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2159706"/>
                </identifiers>
                <balance>28548700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-2539977.84</valUSD>
                <pctVal>-0.056595112571</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.27"/>
    <terminationDt>2053-10-19</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>28548700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.27</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2023-10-17</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-2539977.84</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2160196"/>
                </identifiers>
                <balance>29488100</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.1217"/>
                <valUSD>4356545.56</valUSD>
                <pctVal>0.097071392713</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.921"/>
    <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR-REUTERS" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2048-10-20</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>29488100</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.921</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2028-10-18</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>4356545.56</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2160206"/>
                </identifiers>
                <balance>29488100</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.1217"/>
                <valUSD>-2208538.05</valUSD>
                <pctVal>-0.049210059076</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR-REUTERS" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.921"/>
    <terminationDt>2048-10-20</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>29488100</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.921</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2028-10-18</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-2208538.05</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2196204"/>
                </identifiers>
                <balance>44214400</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>8885325.82</valUSD>
                <pctVal>0.197980473331</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2049-02-02</terminationDt>
    <upfrontPmnt>-5380892.48</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>44214400</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2048-02-03</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>3504433.34</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2207604"/>
                </identifiers>
                <balance>63672400</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.1217"/>
                <valUSD>7491383.42</valUSD>
                <pctVal>0.166921018479</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR-REUTERS" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.667"/>
    <terminationDt>2036-02-18</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>4046381.03</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>63672400</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.667</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2026-02-16</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-3445002.39</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2207634"/>
                </identifiers>
                <balance>63672400</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.1217"/>
                <valUSD>1668402.29</valUSD>
                <pctVal>0.037174897328</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.667"/>
    <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR-REUTERS" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2036-02-18</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>4046381.03</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>63672400</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.667</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2026-02-16</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>2377978.74</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2207914"/>
                </identifiers>
                <balance>61047700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>4706167.19</valUSD>
                <pctVal>0.104861569145</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.7225"/>
    <terminationDt>2030-02-20</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>1243846.86</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>61047700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.7225</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-02-18</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-3462320.33</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2207916"/>
                </identifiers>
                <balance>83940300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>6604422.8</valUSD>
                <pctVal>0.147157997186</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.764"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2031-02-18</terminationDt>
    <upfrontPmnt>-2522024.47</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>83940300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.764</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-02-16</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>4082398.33</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2207918"/>
                </identifiers>
                <balance>22892700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>2021883.26</valUSD>
                <pctVal>0.04505106655</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.97"/>
    <terminationDt>2036-02-19</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>1171343.16</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>22892700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.97</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2026-02-17</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-850540.1</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2207954"/>
                </identifiers>
                <balance>83940300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>314776.12</valUSD>
                <pctVal>0.00701375802</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.764"/>
    <terminationDt>2031-02-18</terminationDt>
    <upfrontPmnt>-2522024.47</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>83940300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.764</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-02-16</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-2207248.35</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2207974"/>
                </identifiers>
                <balance>61047700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1220.95</valUSD>
                <pctVal>0.000027204884</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.7225"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2030-02-20</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>1243846.86</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>61047700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.7225</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-02-18</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>1242625.91</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2207976"/>
                </identifiers>
                <balance>22892700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>557895.1</valUSD>
                <pctVal>0.012430870652</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.97"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2036-02-19</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>1171343.16</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>22892700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.97</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2026-02-17</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>613448.06</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2211875"/>
                </identifiers>
                <balance>44570700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>3945844.07</valUSD>
                <pctVal>0.08792025104</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
        <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.988"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2039-02-28</terminationDt>
    <upfrontPmnt>-2440245.78</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>44570700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.988</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2029-02-26</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>1505598.29</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2211881"/>
                </identifiers>
                <balance>44570700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1412891.19</valUSD>
                <pctVal>0.031481666765</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
        <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.988"/>
    <terminationDt>2039-02-28</terminationDt>
    <upfrontPmnt>-2440245.78</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>44570700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.988</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2029-02-26</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-1027354.59</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2211896"/>
                </identifiers>
                <balance>28942000</balance>
                <units>NC</units>
                <currencyConditional curCd="GBP" exchangeRt="1.3246"/>
                <valUSD>3296561.93</valUSD>
                <pctVal>0.073453118601</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
        <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="6 month GBP-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="GBP" fixedOrFloating="Fixed" fixedRt="1.722"/>
    <terminationDt>2039-02-26</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>2436917.56</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>28942000</notionalAmt>
    <curCd>GBP</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.722</exercisePrice>
                        <exercisePriceCurCd>GBP</exercisePriceCurCd>
                        <expDt>2029-02-26</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-859644.37</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2211902"/>
                </identifiers>
                <balance>28942000</balance>
                <units>NC</units>
                <currencyConditional curCd="GBP" exchangeRt="1.3246"/>
                <valUSD>1674924.88</valUSD>
                <pctVal>0.037320231948</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
        <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="GBP" fixedOrFloating="Fixed" fixedRt="1.722"/>
    <floatingPmntDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="6 month GBP-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2039-02-26</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>2436917.56</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>28942000</notionalAmt>
    <curCd>GBP</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.722</exercisePrice>
                        <exercisePriceCurCd>GBP</exercisePriceCurCd>
                        <expDt>2029-02-26</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>761992.68</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2212133"/>
                </identifiers>
                <balance>61047700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>3052.38</valUSD>
                <pctVal>0.000068012322</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.715"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2030-03-02</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>1247662.34</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>61047700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.715</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-02-27</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>1244609.96</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2212174"/>
                </identifiers>
                <balance>61047700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>4660991.9</valUSD>
                <pctVal>0.103854985315</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.715"/>
    <terminationDt>2030-03-02</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>1247662.34</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>61047700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.715</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2020-02-27</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-3413329.56</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2212176"/>
                </identifiers>
                <balance>83940300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>6657305.19</valUSD>
                <pctVal>0.148336308575</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.7725"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2031-03-02</terminationDt>
    <upfrontPmnt>-2529655.39</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>83940300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.7725</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-02-26</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>4127649.8</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2212203"/>
                </identifiers>
                <balance>83940300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>323170.16</valUSD>
                <pctVal>0.007200791793</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.7725"/>
    <terminationDt>2031-03-02</terminationDt>
    <upfrontPmnt>-2529655.39</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>83940300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.7725</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-02-26</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-2206485.23</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2212213"/>
                </identifiers>
                <balance>22892700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>538894.16</valUSD>
                <pctVal>0.012007496746</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.01"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2036-03-03</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>1175158.59</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>22892700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.01</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2026-02-27</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>636264.43</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2212214"/>
                </identifiers>
                <balance>22892700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>2073849.69</valUSD>
                <pctVal>0.04620896876</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.01"/>
    <terminationDt>2036-03-03</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>1175158.59</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>22892700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.01</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2026-02-27</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-898691.1</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2246958"/>
                </identifiers>
                <balance>357636500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1484191.48</valUSD>
                <pctVal>0.033070360916</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
        <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.2275"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2024-05-18</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>357636500</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.2275</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-05-16</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>1484191.48</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2246960"/>
                </identifiers>
                <balance>357636500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-1891897.09</valUSD>
                <pctVal>-0.042154749185</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
        <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.2275"/>
    <terminationDt>2024-05-18</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>357636500</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.2275</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-05-16</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-1891897.09</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2251134"/>
                </identifiers>
                <balance>311113500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1297343.3</valUSD>
                <pctVal>0.028907059326</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
        <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.823"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2027-05-25</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>3333358.95</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>311113500</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.823</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-05-23</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>2036015.65</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2251136"/>
                </identifiers>
                <balance>77778300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1368120.3</valUSD>
                <pctVal>0.030484093668</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
        <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.983"/>
    <terminationDt>2052-05-25</terminationDt>
    <upfrontPmnt>-3277799.77</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>77778300</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.983</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-05-23</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-1909679.47</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2251197"/>
                </identifiers>
                <balance>44214400</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>6585734.88</valUSD>
                <pctVal>0.146741597909</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.75"/>
    <terminationDt>2049-05-27</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>4156153.6</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>44214400</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.75</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2025-05-22</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-2429581.28</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2251496"/>
                </identifiers>
                <balance>44214400</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>7416965.6</valUSD>
                <pctVal>0.165262860351</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.75"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2049-05-24</terminationDt>
    <upfrontPmnt>-4952012.8</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>44214400</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.75</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2048-05-26</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>2464952.8</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2251556"/>
                </identifiers>
                <balance>133334500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>285335.83</valUSD>
                <pctVal>0.006357777287</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.664"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2026-05-26</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>1025564.53</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>133334500</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.664</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-05-24</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>740228.7</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2251578"/>
                </identifiers>
                <balance>33333500</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>368668.51</valUSD>
                <pctVal>0.008214573961</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.904"/>
    <terminationDt>2051-05-26</terminationDt>
    <upfrontPmnt>-1032227.39</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>33333500</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.904</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2021-05-24</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-663558.88</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2255579"/>
                </identifiers>
                <balance>116296100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-831517.12</valUSD>
                <pctVal>-0.018527643931</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.39"/>
    <terminationDt>2034-06-06</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>116296100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.39</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-06-04</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-831517.12</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2255589"/>
                </identifiers>
                <balance>15990750</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.1217"/>
                <valUSD>1206251.43</valUSD>
                <pctVal>0.026877374438</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
        <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.053"/>
    <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR-REUTERS" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2054-06-06</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>15990750</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.053</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2024-06-04</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>1206251.43</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2255591"/>
                </identifiers>
                <balance>15990750</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.1217"/>
                <valUSD>-415775.59</valUSD>
                <pctVal>-0.009264201423</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
        <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR-REUTERS" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.053"/>
    <terminationDt>2054-06-06</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>15990750</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.053</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2024-06-04</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-415775.59</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2255594"/>
                </identifiers>
                <balance>116296100</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1747930.38</valUSD>
                <pctVal>0.038946921136</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
        <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.39"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2034-06-06</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>116296100</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.39</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-06-04</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>1747930.38</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2256068"/>
                </identifiers>
                <balance>30236900</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.1217"/>
                <valUSD>2405713.71</valUSD>
                <pctVal>0.053603474836</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
        <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.304"/>
    <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR-REUTERS" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2054-06-07</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>30236900</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.304</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2024-06-05</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>2405713.71</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2256176"/>
                </identifiers>
                <balance>30236900</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.1217"/>
                <valUSD>-535545.18</valUSD>
                <pctVal>-0.011932875662</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
        <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR-REUTERS" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.304"/>
    <terminationDt>2054-06-07</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>30236900</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.304</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2024-06-05</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-535545.18</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2261488"/>
                </identifiers>
                <balance>18018000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1828106.28</valUSD>
                <pctVal>0.040733379276</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
        <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.3075"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2052-06-22</terminationDt>
    <upfrontPmnt>-1513230.46</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>18018000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.3075</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-06-20</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>314875.82</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2261490"/>
                </identifiers>
                <balance>18018000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1073332.26</valUSD>
                <pctVal>0.023915704745</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
        <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.3075"/>
    <terminationDt>2052-06-22</terminationDt>
    <upfrontPmnt>-1513230.46</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>18018000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.3075</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2022-06-20</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-439898.2</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UNITED STATES OF AMERICA</name>
                <lei>254900HROIFWPRGM1V77</lei>
                <title>TREASURY- INFLATION PROTECTED</title>
                <cusip>912828TE0</cusip>
                <identifiers>
                    <isin value="US912828TE09"/>
                </identifiers>
                <balance>1199471.52</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1206375.977937</valUSD>
                <pctVal>0.026880149582</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>UST</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2022-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UNITED STATES OF AMERICA</name>
                <lei>254900HROIFWPRGM1V77</lei>
                <title>TREASURY- INFLATION PROTECTED</title>
                <cusip>912828K33</cusip>
                <identifiers>
                    <isin value="US912828K338"/>
                </identifiers>
                <balance>1046019.52</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1045066.6589784512</valUSD>
                <pctVal>0.02328589812</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>UST</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>Total Return Swap</title>
                <cusip>99BD339J3</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1480281"/>
                </identifiers>
                <balance>2919739.43</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>600827.63</valUSD>
                <pctVal>0.013387481899</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                            <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="5.00%/Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools" floatingRtSpread="0" pmntAmt="7704.87">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="-580.22">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2041-01-12</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>601740.05</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>6212.23</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>Total Return Swap</title>
                <cusip>99BD339K0</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1480390"/>
                </identifiers>
                <balance>1757746.07</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>361711.18</valUSD>
                <pctVal>0.008059552579</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                            <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="5.00%/Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools" floatingRtSpread="0" pmntAmt="4638.5">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
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                </derivativeInfo>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
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                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
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                </derivativeInfo>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>Total Return Swap</title>
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                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>Total Return Swap</title>
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                <isRestrictedSec>N</isRestrictedSec>

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                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>Total Return Swap</title>
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                <isRestrictedSec>N</isRestrictedSec>

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                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
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                <fairValLevel>2</fairValLevel>
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            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Total Return Swap</title>
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            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Total Return Swap</title>
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            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Total Return Swap</title>
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            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
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            <invstOrSec>
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            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
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            </invstOrSec>
            <invstOrSec>
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            </invstOrSec>
            <invstOrSec>
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            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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            <invstOrSec>
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            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>Total Return Swap</title>
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                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>Total Return Swap</title>
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            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
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                        <notionalAmt>2880996.74</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-29742.75</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>J.P. MORGAN SECURITIES</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
                <title>Total Return Swap</title>
                <cusip>99FV479P5</cusip>
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                    <other otherDesc="Internal ID" value="1985995"/>
                </identifiers>
                <balance>1914106.08</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>352614.23</valUSD>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>J.P. MORGAN SECURITIES</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        </floatingRecDesc>
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                        <pmntCurCd>USD</pmntCurCd>
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                        <rcptCurCd>USD</rcptCurCd>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>5373.76</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>Total Return Swap</title>
                <cusip>99981D9G3</cusip>
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                    <other otherDesc="Internal ID" value="1178867"/>
                </identifiers>
                <balance>23444.2</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>5842.73</valUSD>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        </floatingPmntDesc>
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                        <rcptCurCd>USD</rcptCurCd>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-122.07</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
                <cusip>99568N9V9</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1264747"/>
                </identifiers>
                <balance>626841.49</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>735461.37</valUSD>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingRecDesc>
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                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2038-01-12</terminationDt>
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                        <curCd>USD</curCd>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
                <cusip>99568N9U1</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1264750"/>
                </identifiers>
                <balance>457161.92</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="496.12">
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                        </floatingRecDesc>
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                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingPmntDesc>
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                        <unrealizedAppr>-3951.69</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
                <cusip>99568N9W7</cusip>
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                    <other otherDesc="Internal ID" value="1264753"/>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        </floatingRecDesc>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-4206.75</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
                <cusip>99568N9X5</cusip>
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                    <other otherDesc="Internal ID" value="1264756"/>
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                <balance>397327.82</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        <curCd>USD</curCd>
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                </derivativeInfo>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
                <cusip>99568N9Y3</cusip>
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                    <other otherDesc="Internal ID" value="1264759"/>
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                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>DEUTSCHE BANK AG</name>
                <lei>7LTWFZYICNSX8D621K86</lei>
                <title>Total Return Swap</title>
                <cusip>99251O9E7</cusip>
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                    <other otherDesc="Internal ID" value="1264762"/>
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                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>DEUTSCHE BANK AG</counterpartyName>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>Total Return Swap</title>
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                    <other otherDesc="Internal ID" value="1293038"/>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
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                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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                </derivativeInfo>
                <securityLending>
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                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
                <cusip>99112Q9L5</cusip>
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                    <other otherDesc="Internal ID" value="1293041"/>
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                <balance>825240.44</balance>
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                <curCd>USD</curCd>
                <valUSD>145577.57</valUSD>
                <pctVal>0.003243720804</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
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                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
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                        </floatingRecDesc>
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                            <rtResetTenors>
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                            </rtResetTenors>
                        </floatingPmntDesc>
                        <terminationDt>2041-01-12</terminationDt>
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                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>147382.78</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-205.15</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
                <cusip>99112Q9M3</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1293044"/>
                </identifiers>
                <balance>653069.01</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>120307.56</valUSD>
                <pctVal>0.002680661144</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>123572.9</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-1833.45</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>Total Return Swap</title>
                <cusip>99089Q9R1</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1293047"/>
                </identifiers>
                <balance>650823.63</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
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                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="5.00%/Synthetic TRS Index 5.00% 30 year Fannie Mae pools" floatingRtSpread="0" pmntAmt="1717.45">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingRecDesc>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="-124.33">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingPmntDesc>
                        <terminationDt>2041-01-12</terminationDt>
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                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>128944.43</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>1389.74</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>Total Return Swap</title>
                <cusip>99089Q9U4</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1293056"/>
                </identifiers>
                <balance>653069.01</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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                        </counterparties>
                        <swapFlag>Y</swapFlag>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingRecDesc>
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                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingPmntDesc>
                        <terminationDt>2041-01-12</terminationDt>
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                        <curCd>USD</curCd>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Total Return Swap</title>
                <cusip>99290N9R3</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1293059"/>
                </identifiers>
                <balance>650823.63</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <pctVal>0.015845132289</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CREDIT SUISSE INTERNATIONAL</counterpartyName>
                            <counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
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                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingRecDesc>
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                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingPmntDesc>
                        <terminationDt>2041-01-12</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-291.5</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Total Return Swap</title>
                <cusip>99511Q9D0</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1302440"/>
                </identifiers>
                <balance>2893114.56</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>3394437.07</valUSD>
                <pctVal>0.075633946512</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CREDIT SUISSE INTERNATIONAL</counterpartyName>
                            <counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingRecDesc>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="6.50%/Synthetic MBX Index 6.50% 30 year Fannie Mae pools" floatingRtSpread="0" pmntAmt="-9924.99">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-8914.37</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DEUTSCHE BANK AG</name>
                <lei>7LTWFZYICNSX8D621K86</lei>
                <title>Total Return Swap</title>
                <cusip>99904P9M7</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1302443"/>
                </identifiers>
                <balance>2893114.56</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>3394437.07</valUSD>
                <pctVal>0.075633946512</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>DEUTSCHE BANK AG</counterpartyName>
                            <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="3270.87">
                            <rtResetTenors>
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                        </floatingRecDesc>
                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="6.50%/Synthetic MBX Index 6.50% 30 year Fannie Mae pools" floatingRtSpread="0" pmntAmt="-9924.99">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <notionalAmt>3392176.82</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-8914.37</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Total Return Swap</title>
                <cusip>99511Q9L2</cusip>
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                    <other otherDesc="Internal ID" value="1303325"/>
                </identifiers>
                <balance>40890.31</balance>
                <units>NC</units>
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                <payoffProfile>N/A</payoffProfile>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CREDIT SUISSE INTERNATIONAL</counterpartyName>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                </derivativeInfo>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>Total Return Swap</title>
                <cusip>99621Q9P0</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1303812"/>
                </identifiers>
                <balance>6082248.42</balance>
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                <curCd>USD</curCd>
                <valUSD>6436729.46</valUSD>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="4.00%/Synthetic MBX Index 4.00% 30 year Fannie Mae pools" floatingRtSpread="0" pmntAmt="12840.3">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="-6199.21">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <terminationDt>2040-01-12</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
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                        <unrealizedAppr>14243.9</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
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                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
                <cusip>99721Q9X2</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1309158"/>
                </identifiers>
                <balance>114832.83</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>23630.44</valUSD>
                <pctVal>0.000526527197</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                            <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="5.00%/Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools" floatingRtSpread="0" pmntAmt="303.03">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="-22.82">
                            <rtResetTenors>
<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingPmntDesc>
                        <terminationDt>2041-01-12</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
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                        <upfrontRcpt>0</upfrontRcpt>
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                        <notionalAmt>23666.33</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>244.32</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
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                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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                </derivativeInfo>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
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                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>CITIBANK N.A.</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
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                    <other otherDesc="Internal ID" value="1314783"/>
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                </derivativeInfo>
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            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Total Return Swap</title>
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                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>CREDIT SUISSE INTERNATIONAL</counterpartyName>
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                </derivativeInfo>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>Total Return Swap</title>
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                <assetCat>DIR</assetCat>
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                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>Total Return Swap</title>
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            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
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                <isRestrictedSec>N</isRestrictedSec>

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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
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                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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                <isRestrictedSec>N</isRestrictedSec>

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            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Total Return Swap</title>
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            <invstOrSec>
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            <invstOrSec>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
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                <isRestrictedSec>N</isRestrictedSec>

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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
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                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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                </derivativeInfo>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
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                <assetCat>DIR</assetCat>
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                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>Total Return Swap</title>
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                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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                </derivativeInfo>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
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                    <other otherDesc="Internal ID" value="1395265"/>
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                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                </derivativeInfo>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
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                <fairValLevel>2</fairValLevel>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
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            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
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                    <other otherDesc="Internal ID" value="1407692"/>
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                <isRestrictedSec>N</isRestrictedSec>

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                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
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            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
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                <isRestrictedSec>N</isRestrictedSec>

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            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
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                    <other otherDesc="Internal ID" value="1444612"/>
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                <curCd>USD</curCd>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        <pmntCurCd>USD</pmntCurCd>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-12866.31</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BARCLAYS BANK PLC</name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>Total Return Swap</title>
                <cusip>99AC439K2</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1447995"/>
                </identifiers>
                <balance>1995664.17</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
                            <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="2165.74">
                            <rtResetTenors>
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                        </floatingRecDesc>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-17250.4</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>CREDIT SUISSE INTERNATIONAL</name>
                <lei>E58DKGMJYYYJLN8C3868</lei>
                <title>Total Return Swap</title>
                <cusip>99AC729C9</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1449220"/>
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                <balance>2350181.21</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>353996.04</valUSD>
                <pctVal>0.007887645875</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CREDIT SUISSE INTERNATIONAL</counterpartyName>
                            <counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        </floatingRecDesc>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <pmntCurCd>USD</pmntCurCd>
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                        <notionalAmt>365012.52</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-7647.32</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
                <cusip>99AL459F8</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1473550"/>
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                <balance>747387.93</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <assetCat>DIR</assetCat>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="844.97">
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                        </floatingRecDesc>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-2302.88</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
                <cusip>99AL459K7</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1474060"/>
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                <balance>1306052.99</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-6799.94</unrealizedAppr>
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                </derivativeInfo>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>Total Return Swap</title>
                <cusip>99AM159F9</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1475684"/>
                </identifiers>
                <balance>10108684.31</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>1806927.32</valUSD>
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                <assetCat>DIR</assetCat>
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                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
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                            <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-16764.86</unrealizedAppr>
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            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>Total Return Swap</title>
                <cusip>99AM159K8</cusip>
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                    <other otherDesc="Internal ID" value="1475725"/>
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                <balance>4504870.03</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>829881.53</valUSD>
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                <assetCat>DIR</assetCat>
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                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 month USD-LIBOR-BBA" floatingRtSpread="0" pmntAmt="-821.92">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-12647.2</unrealizedAppr>
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            </invstOrSec>
            <invstOrSec>
                <name>UNITED STATES OF AMERICA</name>
                <lei>254900HROIFWPRGM1V77</lei>
                <title>U.S. T BILLS</title>
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                    <isin value="US912796TG47"/>
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                <balance>3300000</balance>
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                <curCd>USD</curCd>
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                <issuerCat>UST</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <couponKind>Fixed</couponKind>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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            <invstOrSec>
                <name>UNITED STATES OF AMERICA</name>
                <lei>254900HROIFWPRGM1V77</lei>
                <title>U.S. T BILLS</title>
                <cusip>912796TX7</cusip>
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                    <isin value="US912796TX79"/>
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                <balance>2842000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>2823320.08</valUSD>
                <pctVal>0.062908469214</pctVal>
                <payoffProfile>Long</payoffProfile>
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                <issuerCat>UST</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-06-04</maturityDt>
                    <couponKind>Fixed</couponKind>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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            <invstOrSec>
                <name>UNITED STATES OF AMERICA</name>
                <lei>254900HROIFWPRGM1V77</lei>
                <title>U.S. T BILLS</title>
                <cusip>912796TT6</cusip>
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                    <isin value="US912796TT67"/>
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                <balance>11136000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
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                <payoffProfile>Long</payoffProfile>
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                <issuerCat>UST</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2020-05-07</maturityDt>
                    <couponKind>Fixed</couponKind>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>UNITED STATES OF AMERICA</name>
                <lei>254900HROIFWPRGM1V77</lei>
                <title>U.S. T BILLS</title>
                <cusip>912796RT8</cusip>
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                    <isin value="US912796RT85"/>
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                <balance>3273000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3273000</valUSD>
                <pctVal>0.072928117926</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>UST</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-01-02</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>UNITED STATES OF AMERICA</name>
                <lei>254900HROIFWPRGM1V77</lei>
                <title>U.S. T BILLS</title>
                <cusip>912796SR1</cusip>
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                    <isin value="US912796SR11"/>
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                <balance>16247000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>16150567.23</valUSD>
                <pctVal>0.359862655521</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>UST</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>

                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2020-05-21</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
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        <signature>
            <ncom:dateSigned>2020-02-25</ncom:dateSigned>
            <ncom:nameOfApplicant>Putnam Investments Inc</ncom:nameOfApplicant>
            <ncom:signature>Janet C. Smith</ncom:signature>
            <ncom:signerName>NPORT</ncom:signerName>
            <ncom:title>Principal Financial Officer</ncom:title>
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    <documents>XXXX</documents>
</edgarSubmission>
